The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control domain being con...The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control domain being convex is proved.展开更多
文摘The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control domain being convex is proved.
