Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation
This paper first makes an attempt to investigate the near-optimal control of systems governed by fully nonlinear coupled forward-backward stochastic differential equations (FBSDEs) under the assumption of a convex control domain. By Ekeland’s variational principle and some basic estimates for state...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/361259 |