An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications

DOI10.1515/rose-2020-2024zbMath1433.93155OpenAlexW3000839619WikidataQ126319178 ScholiaQ126319178MaRDI QIDQ1986110

Dahbia Hafayed, Adel Chala

Publication date: 7 April 2020

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2024

zbMATH Keywords

optimal controlvariational principlestochastic maximum principlelogarithmic transformationbackward doubly stochastic differential equationrisk-sensitive

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Generalized stochastic processes (60G20)

Related Items (1)

On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application

Cites Work

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