On forward-backward stochastic differential equations in a domination-monotonicity framework

DOI10.1007/s00245-022-09841-8zbMath1492.60180OpenAlexW4210609799WikidataQ115388185 ScholiaQ115388185MaRDI QIDQ2115131

Zhi-Yong Yu

Publication date: 15 March 2022

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-022-09841-8

zbMATH Keywords

stochastic optimal controlmethod of continuationforward-backward stochastic differential equationstochastic linear-quadratic problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (3)

Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games

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