Hostname: page-component-7b7567c8c-fvjsw Total loading time: 0 Render date: 2026-11-14T22:18:23.427Z Has data issue: false hasContentIssue false
  • English
  • Français

Maximum principle for forward-backward doubly stochastic control systems and applications*

Published online by Cambridge University Press:  08 November 2010

Liangquan Zhang and
Yufeng Shi
Liangquan Zhang
Affiliation:
School of Mathematics, Shandong University, Jinan 250100, P.R. China. yfshi@sdu.edu.cnLaboratoire de Mathématiques, Université de Bretagne Occidentale, 29285 Brest Cedex, France.
Yufeng Shi
Affiliation:
School of Mathematics, Shandong University, Jinan 250100, P.R. China. yfshi@sdu.edu.cn

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

The maximum principle for optimal control problems of fully coupledforward-backward doubly stochastic differential equations (FBDSDEs in short)in the global form is obtained, under the assumptions that the diffusioncoefficients do not contain the control variable, but the control domainneed not to be convex. We apply our stochastic maximum principle (SMP inshort) to investigate the optimal control problems of a class of stochasticpartial differential equations (SPDEs in short). And as an example of theSMP, we solve a kind of forward-backward doubly stochastic linear quadraticoptimal control problems as well. In the last section, we use the solutionof FBDSDEs to get the explicit form of the optimal control for linearquadratic stochastic optimal control problem and open-loop Nash equilibriumpoint for nonzero sum stochastic differential games problem.

Keywords

Maximum principlestochastic optimal controlforward-backward doubly stochastic differential equationsspike variationsvariational equationsstochastic partial differential equationsnonzerosum stochastic differential game

Information

Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 17 , Issue 4 , October 2011, pp. 1174 - 1197
Copyright
© EDP Sciences, SMAI, 2010

References

Bensoussan, A., Point de Nash dans le cas de fonctionnelles quadratiques et jeux différentiels à N personnes. SIAM J. Control 12 (1974) 460–499. CrossRef
A. Bensoussan, Lectures on stochastic control, in Nonlinear Filtering and Stochastic Control, S.K. Mitter and A. Moro Eds., Lecture Notes in Mathematics 972, Springer-verlag, Berlin (1982).
Bensoussan, A., Stochastic maximum principle for distributed parameter system. J. Franklin Inst. 315 (1983) 387–406. CrossRef
A. Bensoussan, Stochastic Control of Partially Observable Systems. Cambridge University Press, Cambridge (1992).
Bismut, J.M., An introductory approach to duality in optimal stochastic control. SIAM Rev. 20 (1978) 62–78. CrossRef
S. Chen, X. Li and X. Zhou, Stochstic linear quadratic regulators with indefinite control weight cost. SIAM J. Control Optim. 36 (1998) 1685–1702.
Eisele, T., Nonexistence and nonuniqueness of open-loop equilibria in linear-quadratic differential games. J. Math. Anal. Appl. 37 (1982) 443–468.
A. Friedman, Differential Games. Wiley-Interscience, New York (1971).
Hamadène, S., Nonzero sum linear-quadratic stochastic differential games and backwad-forward equations. Stoch. Anal. Appl. 17 (1999) 117–130. CrossRef
Haussmann, U.G., General necessary conditions for optimal control of stochastic systems. Math. Program. Stud. 6 (1976) 34–48.
U.G. Haussmann, A stochastic maximum principle for optimal control of diffusions, Pitman Research Notes in Mathematics 151. Longman (1986).
Ji, S. and Zhou, X.Y., A maximum principle for stochastic optimal control with terminal state constraints, and its applications. Commun. Inf. Syst. 6 (2006) 321–338.
Kushner, H.J., Necessary conditions for continuous parameter stochastic optimization problems. SIAM J. Control Optim. 10 (1972) 550–565. CrossRef
Mortensen, R.E., Stochastic optimal control with noisy observations. Int. J. Control 4 (1966) 455–464. CrossRef
Nisio, M., Optimal control for stochastic partial differential equations and viscosity solutions of Bellman equations. Nagoya Math. J. 123 (1991) 13–37. CrossRef
Nualart, D. and Pardoux, E., Stochastic calculus with anticipating integrands. Probab. Theory Relat. Fields 78 (1988) 535–581. CrossRef
Øksendal, B., Optimal control of stochastic partial differential equations. Stoch. Anal. Appl. 23 (2005) 165–179. CrossRef
Pardoux, E. and Peng, S., Adapted solution of a backward stochastic differential equation. Syst. Control Lett. 14 (1990) 55–61. CrossRef
Pardoux, E. and Peng, S., Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Probab. Theory Relat. Fields 98 (1994) 209–227. CrossRef
Peng, S., A general stochastic maximum principle for optimal control problem. SIAM J. Control Optim. 28 (1990) 966–979. CrossRef
Peng, S., Backward stochastic differential equations and application to optimal control. Appl. Math. Optim. 27 (1993) 125–144. CrossRef
S. Peng and Y. Shi, A type of time-symmetric forward-backward stochastic differential equations. C. R. Acad. Sci. Paris, Sér. I 336 (2003) 773–778.
Peng, S. and Fully, Z. Wu coupled forward-backward stochastic differential equations and applications to optimal control. SIAM J. Control Optim. 37 (1999) 825–843. CrossRef
L.S. Pontryagin, V.G. Boltyanskti, R.V. Gamkrelidze and E.F. Mischenko, The Mathematical Theory of Optimal Control Processes. Interscience, John Wiley, New York (1962).
Shi, J. and The, Z. Wu maximum principle for fully coupled forward-backward stochastic control system. Acta Automatica Sinica 32 (2006) 161–169.
Maximum, Z. Wu principle for optimal control problem of fully coupled forward-backward stochastic systems. Systems Sci. Math. Sci. 11 (1998) 249–259.
Forward-backward, Z. Wu stochastic differential equation linear quadratic stochastic optimal control and nonzero sum differential games. Journal of Systems Science and Complexity 18 (2005) 179–192.
Stochastic, W. Xu maximum principle for optimal control problem of forward and backward system. J. Austral. Math. Soc. B 37 (1995) 172–185.
J. Yong and X.Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations. Springer, New York (1999).