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Exact controllability of forward-backward stochastic control system
Xiangrong Wang 1 *,Hong Huang 2 #
1.Shandong University of science and technology,College of Mathematics and Systems Science
2.Shandong University of Science and Technology, College of Information and Engineering University,QingDao
*Correspondence author
#Submitted by
Subject:
Funding: This work is supported by NSFC（No.NO.11271007) and the Doctoral Found of the Ministry of Education of China）
Opened online: 6 February 2015
Accepted by: none
Citation: Xiangrong Wang,Hong Huang.Exact controllability of forward-backward stochastic control system[OL]. [ 6 February 2015] http://en.paper.edu.cn/en_releasepaper/content/4631489
 
 
This paper gives the definitions of exact controllability, completely exact controllability and a sufficient condition of exact controllability for forward-backward stochastic control system. For linear forward backward stochastic control system, we also get an algebraic criterion when the stochastic control system is completely exact controllability. Finally, a optimal portfolio problem of incomplete market is discussed.
Keywords:forward-backward stochastic control system, exact controllability, completely exact controllability, portfolios
 
 
 

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