Back to Search
Start Over
A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
- Publication Year :
- 2020
-
Abstract
- We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional linear BSDEs with unbounded stochastic Lipschitz coefficients involving bounded mean oscillation martingales (BMO-martingales for short) and prove the solvability for a class of multi-dimensional BSDEs with this type. Finally, a new global stochastic maximum principle is deduced.<br />Comment: 31 pages
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2010.10680
- Document Type :
- Working Paper