# A global stochastic maximum principle for fully coupled forward-backward stochastic systems

arXiv: https://arxiv.org/abs/1803.02109 · HTML: https://mlsanity.com/paper/1803.02109/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 6 Mar 2018.

## Built on by (most cited first, 1 of 1)

- [A deep learning method for solving stochastic optimal control problems driven by fully-coupled FBSDEs](https://mlsanity.com/paper/2204.05796/) (2022)

## Abstract (arXiv)

We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear FBSDEs. Inspired by Hu (Hu, Probability, Uncertainty and Quantitative Risk, 2(1) (2017):pp 1-20), we develop a new decoupling approach by introducing an adjoint equation which is a quadratic BSDE. By revealing the relations among the terms of the first-order Taylor's expansions, we estimate the orders of them and derive a global stochastic maximum principle which includes a completely new term. Applications to stochastic linear quadratic control problems are investigated.