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

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  • Qingmeng Wei
  • Xinling Xiao

Abstract

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.

Suggested Citation

  • Qingmeng Wei & Xinling Xiao, 2014. "An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-16, February.
    • Handle: RePEc:hin:jnlaaa:432718
    DOI: 10.1155/2014/432718
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