An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

Qingmeng Wei, Xinling Xiao
2014 Abstract and Applied Analysis  
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequalities. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.
doi:10.1155/2014/432718 fatcat:bavadzcyaba5rez7kluetdq2xy