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The maximum principle for fully coupled forwardbackward stochastic control system with state constraints

SHI Jing-tao   

  1. School of Math. and System Sci., Shandong Univ., Jinan 250100, Shandong, China
  • Received:2006-05-10 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: SHI Jing-tao

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Abstract: The maximum principle for fully coupled forwardbackward stochastic control system with state constraints is presented under the assumption that the forward diffusion coefficient does not contain the control variable, while the control domain allows unconvex.

Key words: Ekeland variational principle , state constraints, spike variation, forwardbackward stochastic control system, maximum principle

CLC Number: 

  • O241.82
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