A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems (Q5869808)
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scientific article; zbMATH DE number 7594337
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems |
scientific article; zbMATH DE number 7594337 |
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A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems (English)
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29 September 2022
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BMO martingales
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forward-backward stochastic differential equations
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method of successive approximations
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stochastic maximum principle
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stochastic recursive optimal control
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