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A stochastic maximum principle for linear quadratic problem with nonconvex control domain - MaRDI portal

A stochastic maximum principle for linear quadratic problem with nonconvex control domain (Q2280172)

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A stochastic maximum principle for linear quadratic problem with nonconvex control domain
scientific article

    Statements

    title
    A stochastic maximum principle for linear quadratic problem with nonconvex control domain (English)
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    author
    Shaolin Ji
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    Xiaole Xue
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    publication date
    18 December 2019
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    zbMATH Keywords
    stochastic maximum principle
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    stochastic linear quadratic problem
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    convex perturbation
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    backward stochastic differential equation
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    60H10
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    49N15
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    zbMATH DE Number
    7144245
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    OpenAlex ID
    W2940196676
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    Wikidata QID
    Q127984243
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    DOI
    10.3934/MCRF.2019022
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