International Journal of Control, Vol.90, No.8, 1597-1603, 2017
Maximum principle for forward-backward SDEs with a general cost functional
In this study, we consider a stochastic optimal control problem whose state variables are described by the system of forward and backward stochastic differential equations with a general cost functional which relies on the global terminal condition. In the framework of Frechet derivatives, we derive the corresponding maximum principle via constructing a series of adjoint equations which need to be solved step by step.