Stochastic optimal control and forward-backward stochastic differential equations

zbMath1123.60313MaRDI QIDQ2383462

Jiong-min Yong

Publication date: 19 September 2007

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

zbMATH Keywords

Pontryagin's maximum principlenecessary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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