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- W2279543516 abstract "Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) with closed control regions are formulated and studied. Instead of using spike variation method as one may imagine, here we turn to treat the non-convexity of the control regions by borrowing some tools in set-valued analysis and adapting them into our stochastic control systems. A duality principle between linear backward stochastic Volterra integral equations and linear stochastic Fredholm-Volterra integral equations with conditional expectation are derived, which extends and improves the corresponding results in [25], [30]. Some first order necessary optimality conditions for optimal controls of FBSVIEs are established. In contrast with existed common routines to treat the non-convexity of stochastic control problems, here only one adjoint system and one-order differentiability requirements of the coefficients are needed." @default.
- W2279543516 created "2016-06-24" @default.
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- W2279543516 date "2016-02-17" @default.
- W2279543516 modified "2023-09-23" @default.
- W2279543516 title "Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions" @default.
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- W2279543516 doi "https://doi.org/10.48550/arxiv.1602.05661" @default.
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