The Maximum Principle for Fully Coupled Forward-backward Stochastic Control System

作     者：SHI Jing-Tao WU Zhen SHI Jing-Tao;WU Zhen

作者机构：School of Mathematics and System Sciences Shandong University Jinan 250100 

出 版 物：《自动化学报》 (Acta Automatica Sinica)

年 卷 期：2006年第32卷第2期

页      面：161-169页

核心收录：

学科分类：08[工学] 0802[工学-机械工程] 0835[工学-软件工程] 080201[工学-机械制造及其自动化] 

基　　金：Supported by National Natural Science Foundation of P.R.China (10371067) the Youth Teacher Foundation of Fok Ying Tung Education Foundation (91064)New Century Excellent Young Teachers Foundation of P. R. China (NCEF-04-0633) 

主　　题：最大原理 随机控制系统 毛刺变异 扩散系数 

摘      要：The maximum principle for fully coupled forward-backward stochastic control system in the global form is proved, under the assumption that the forward diffusion coefficient does not contain the control variable, but the control domain is not necessarily convex.