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MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL PROBLEM OF FULLY COUPLEDFORWARD-BACKWARD STOCHASTIC SYSTEMS |
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| Authors: | WU Zhen |
| Abstract: | 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. |
| Keywords: | Stochastic differential equations forward-backward stochastic systems maximumprinciple |
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