Singular optimal controls for stochastic recursive systems under convex control constraint
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Publication:1996318
DOI10.1016/j.jmaa.2020.124905zbMath1458.93269arXiv1812.11655OpenAlexW3116811795MaRDI QIDQ1996318
Publication date: 4 March 2021
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.11655
maximum principleviscosity solutionMalliavin calculusforward-backward stochastic differential equationsdynamic programming principlesingular optimal controls
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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