Necessary condition for optimal control of doubly stochastic systems

Zhang Liangquan; Zhou Qing; Yang Juan

doi:10.3934/mcrf.2020002

Article Contents

2020, Volume 10, Issue 2: 379-403. Doi: 10.3934/mcrf.2020002

This issue Previous Article Optimal investment problem with delay under partial information Next Article Feedback stabilization for a coupled PDE-ODE production system

Necessary condition for optimal control of doubly stochastic systems

School of Science, Beijing University of Posts and Telecommunications, Beijing 100876, China

^* Corresponding author: Liangquan Zhang
^* Corresponding author: Liangquan Zhang

Received: November 2018

Revised: March 2019

Early access: November 2019

Published: April 2020

The first author is supported partly by the National Nature Science Foundation of China (Grant No. 11701040, 61871058, 11871010 & 61603049) and the Fundamental Research Funds for the Central Universities (No.2019XD-A11).
The second author is supported partly by the National Nature Science Foundation of China (Grant No. 11871010 & 11471051).
The third author is supported partly by the National Nature Science Foundation of China (Grant No. 11501046)

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Abstract

The aim of this paper is to establish a necessary condition for optimal stochastic controls where the systems governed by forward-backward doubly stochastic differential equations (FBDSDEs in short). The control constraints need not to be convex. This condition is described by two kinds of new adjoint processes containing two Brownian motions, corresponding to the forward and backward components and a maximum condition on the Hamiltonian. The proof of the main result is based on spike's variational principle, duality technique and delicate estimates on the state and the adjoint processes with respect to the control variable. An example is provided for illustration.

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Mathematics Subject Classification: Primary: 93E20, 60H15; Secondary: 60H30.

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