On optimal control of forward-backward stochastic differential equations
DOI10.1007/s13370-017-0504-xzbMath1387.93178arXiv1701.08392OpenAlexW2585655429MaRDI QIDQ1693961
Isabelle Turpin, Nabil Khelfallah, Brahim Mezerdi, Fouzia Baghery
Publication date: 1 February 2018
Published in: Afrika Matematika (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.08392
stochastic controltightnessforward-backward stochastic differential equationrelaxed controlMeyer-Zheng topologyJakubowsky S-topology
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites Work
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