{
  "id": "1005.3085",
  "version": "v2",
  "published": "2010-05-18T01:55:29.000Z",
  "updated": "2012-11-17T06:32:23.000Z",
  "title": "A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints",
  "authors": [
    "Shaolin Ji",
    "Qingmeng Wei",
    "Xiumin Zhang"
  ],
  "comment": "22 pages",
  "categories": [
    "math.OC"
  ],
  "abstract": "In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's variation principle, a necessary condition of the stochastic optimal control, i.e., stochastic maximum principle is derived. Applications to backward doubly stochastic linear-quadratic control models are investigated.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2012-11-17T06:32:23.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E20",
      "60H10"
    ],
    "keywords": [
      "forward-backward doubly stochastic differential equation",
      "time-symmetric forward-backward doubly stochastic differential",
      "controlled time-symmetric forward-backward doubly stochastic",
      "initial-terminal sate constraints"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 22,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1005.3085J"
    }
  }
}