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A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators (2010.10680v2)
Published 21 Oct 2020 in math.OC and math.PR
Abstract: We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional linear BSDEs with unbounded stochastic Lipschitz coefficients involving bounded mean oscillation martingales (BMO-martingales for short) and prove the solvability for a class of multi-dimensional BSDEs with this type. Finally, a new global stochastic maximum principle is deduced.
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