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The Solvability of Forward-Backward Doubly Stochastic Hamiltonian Systems
HAN Yue-cai 1 *, Xu Jie 2
1. School of Mathematics, Jilin University, Changchun, 130012
2. School of Mathematics, Jilin University, Changchun, 130012;College of Sciences, Jilin Institute of Chemical Technology, Jilin, 132022
*Correspondence author
#Submitted by
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Funding: RFDP （No.20120061110002）
Opened online:14 June 2016
Accepted by: none
Citation: HAN Yue-cai, Xu Jie.The Solvability of Forward-Backward Doubly Stochastic Hamiltonian Systems[OL]. [14 June 2016] http://en.paper.edu.cn/en_releasepaper/content/4697249
 
 
In this note, we investigate the solvability of a forward-backward doubly stochastic Hamiltonian system withboundary value condition. We show the relationship between a linear forward-backward doubly stochastic Hamiltonian system and a deterministicmatrix-valued Riccati equation. These results help us to investigate fruitful properties of solutions of forward-backward doubly stochastic Hamiltonian with boundary valuecondition.
Keywords:Riccati equation, forward-backward doubly stochastic Hamiltonian systems, stochastic maximum principle.
 
 
 

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