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

作　　者：SHI Jing-Tao WU Zhen 

机构地区：[1]School of Mathematics and System Sciences, Shandong University, Jinan 250100

出　　处：《自动化学报》2006年第2期161-169,共9页Acta Automatica Sinica

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)

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.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.

关 键 词：最大原理 随机控制系统 毛刺变异 扩散系数 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]