A maximum principle for stochastic optimal control with terminal state constraints, and its applications
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Publication:2474727
DOI10.4310/CIS.2006.v6.n4.a4zbMath1132.93050OpenAlexW2011192022MaRDI QIDQ2474727
Publication date: 6 March 2008
Published in: Communications in Information and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cis.2006.v6.n4.a4
maximum principlestate constraintsEkeland's variational principlelinear-quadratic controlrecursive utilityforward-backward stochastic differential equation (FBSDE)
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