Necessary condition for optimality of forward-backward doubly system

DOI10.1007/s13370-014-0227-1zbMath1328.49025OpenAlexW2014750965MaRDI QIDQ2516951

Chala Adel

Publication date: 4 August 2015

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-014-0227-1

zbMATH Keywords

maximum principlevariational inequalityadjoint equationnecessary optimality conditionforward-backward doubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Optimality conditions for problems involving relations other than differential equations (49K21)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A general optimality conditions for stochastic control problems of jump diffusions
• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• A type of time-symmetric forward-backward stochastic differential equations
• Backward stochastic differential equations with stochastic monotone coefficients
• Backward stochastic differential equations and applications to optimal control
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• A General Stochastic Maximum Principle for Optimal Control Problems
• Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Backward equations, stochastic control and zero-sum stochastic differential games
• Stochastic maximum principle for optimal control problem of forward and backward system
• The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
• Backward doubly stochastic differential equations with non-Lipschitz coefficients