SIAM Journal on Control and Optimization, Vol.48, No.6, 4119-4156, 2010
OPTIMALITY VARIATIONAL PRINCIPLE FOR CONTROLLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS
An optimal control problem for general coupled forward-backward stochastic differential equations (FBSDEs) with mixed initial-terminal conditions is considered. The control domain is not assumed to be convex, and the control appears in the diffusion coefficient of the forward equation. Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation techniques.
Keywords:forward-backward stochastic differential equations;mixed initial-terminal conditions;optimal stochastic control;optimality variational principle;spike variation technique