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• W2090434128 abstract "We study a stochastic optimal control problem where the controlled system is described by a fully coupled forward–backward stochastic differential equation (FBSDE), while the forward state is constrained in a convex set at the terminal time. By introducing an equivalent backward control problem, we use terminal variation approach to obtain a stochastic maximum principle. Applications to the utility optimization problem in the financial market and state constrained stochastic linear quadratic control models are investigated." @default.
• W2090434128 created "2016-06-24" @default.
• W2090434128 creator A5013654875 @default.
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• W2090434128 date "2013-11-01" @default.
• W2090434128 modified "2023-10-14" @default.
• W2090434128 title "A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints" @default.
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• W2090434128 doi "https://doi.org/10.1016/j.jmaa.2013.05.013" @default.
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