Necessary Conditions for a Weak Minimum in Optimal Control Problems with Integral Equations Subject to State and Mixed Constraints

2014 ◽  
Vol 52 (6) ◽  
pp. 3437-3462 ◽  
Author(s):  
A. V. Dmitruk ◽  
N. P. Osmolovskii
Keyword(s):  
Optimal Control ◽  
Integral Equations ◽  
Optimal Control Problems ◽  
Necessary Conditions ◽  
Control Problems ◽  
Mixed Constraints ◽  
Weak Minimum

scholarly journals An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

2014 ◽  
Vol 2014 ◽  
pp. 1-16
Author(s):  
Qingmeng Wei ◽  
Xinling Xiao
Keyword(s):  
Optimal Control ◽  
Variational Principle ◽  
Integral Equations ◽  
Stochastic Optimal Control ◽  
State Constraints ◽  
Optimal Control Problems ◽  
Necessary Conditions ◽  
Volterra Integral Equations ◽  
Control Problems ◽  
Optimal Controls

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequalities. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.

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