Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.

DOI10.1016/S0304-4149(00)00005-3zbMath1045.60061WikidataQ128118281 ScholiaQ128118281MaRDI QIDQ1877516

Shige Peng

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

forward-backward stochastic differential equationsstochastic Hamiltonian systemsmatrix-valued Riccati equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Eigenvalue problems for linear operators (47A75) Hamiltonian and Lagrangian mechanics (70H99)

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