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Necessary condition for optimality of forward–backward doubly system

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Abstract

We consider a stochastic control problem in the case where the set of control domain is convex, the system is governed by a nonlinear forward–backward doubly stochastic differential equation with given terminal condition. The criteria to be minimized is in the general form, with initial and terminal costs. We derive a maximum principle of optimality.

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Acknowledgments

The author would also like to thank the anonymous referees for their careful reading and helpful suggestions on the original version of this paper.

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Authors and Affiliations

  1. Laboratory of Applied Mathematics, University Mouhamed Khider, P.O. Box 145, Biskra , 07000, Algeria

    Chala Adel

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  1. Chala Adel
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Correspondence to Chala Adel.

Additional information

This work is Partially supported by The Algerian PNR Project No: 8/u07/857.

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Adel, C. Necessary condition for optimality of forward–backward doubly system. Afr. Mat. 26, 575–584 (2015). https://doi.org/10.1007/s13370-014-0227-1

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  • DOI: https://doi.org/10.1007/s13370-014-0227-1

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