1211.1740 (Shaolin Ji et al.)

An optimal control problem of forward-backward stochastic Volterra
integral equations with state constraints    [PDF]

Shaolin Ji, Qingmeng Wei

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 inequality. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.

View original: http://arxiv.org/abs/1211.1740