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A global stochastic maximum principle for delayed forward-backward stochastic control systems

Li, Feng
arXiv (All) · Papers
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optimization-and-control
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is an arbitrary nonempty set. To handle the terms involving $y$ and $z$ in the second-order expansion, we derive two decompositions
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