The general relaxed control problem of fully coupled forward-backward doubly system

DOI10.1007/s40324-016-0076-yzbMath1380.93283OpenAlexW2296933856MaRDI QIDQ1696987

Adel Chala

Publication date: 15 February 2018

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40324-016-0076-y

zbMATH Keywords

maximum principlevariational principleadjoint equationrelaxed controlfully coupled forward-backward doubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A general optimality conditions for stochastic control problems of jump diffusions
• Adapted solution of a backward stochastic differential equation
• Approximation and optimality necessary conditions in relaxed stochastic control problems
• Backward-forward stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• A type of time-symmetric forward-backward stochastic differential equations
• Backward stochastic differential equations and applications to optimal control
• Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
• Optimality conditions of controlled backward doubly stochastic differential equations
• A General Stochastic Maximum Principle for Optimal Control Problems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
• Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients