报告题目：A global stochastic maximum principle for  fully coupled forward-backward stochastic systems

主 讲 人：胡明尚（山东大学）

报告时间：2021年10月8日10:30-11:30

报告地点：知新楼B-1238

报告摘要：

We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear forward-backward stochastic differential equations. Inspired by Hu [Probab. Uncertain. Quant. Risk, 2 (2017), pp. 1--20], we develop a new decoupling approach by introducing an adjoint equation which is a quadratic backward stochastic differential equation. By revealing the relations among the terms of the first-order Taylor expansions, we estimate the orders of them and derive a global stochastic maximum principle which includes a completely new term. Applications to stochastic linear quadratic control problems are investigated. This is a joint work with Shaolin Ji and Xiaole Xue.

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