OpenAlex | A Maximum Principle for Controlled Time‐Symmetric Forward‐Backward Doubly Stochastic Differential Equation with Initial‐Terminal Sate Constraints

A Maximum Principle for Controlled Time‐Symmetric Forward‐Backward Doubly Stochastic Differential Equation with Initial‐Terminal Sate Constraints

Work

Year: 2012

Type: article

Abstract: We study the optimal control problem of a controlled time‐symmetric forward‐backward doubly stochastic differential equation with initial‐terminal state constraints. Applying the terminal perturbation... more

Source: Abstract and Applied Analysis

Authors Shaolin Ji, Qingmeng Wei, Xiumin Zhang

Institutions Czech Academy of Sciences, Institute of Mathematics, Shandong University

Cites: 30

Cited by: 4

Related to: 10

FWCI: 0.896

Citation percentile (by year/subfield): 61.51

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

APC paid (est): $1,025

Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China

Grant IDS 10921101, 11171187, B12023, 10871118