Necessary condition for near optimal control of linear forward–backward stochastic differential equations

DOI10.1080/00207179.2015.1011699zbMath1337.93102arXiv1203.1774OpenAlexW2143934044MaRDI QIDQ2797633

Jianhui Huang, Liangquan Zhang, Xun Li

Publication date: 5 April 2016

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.1774

zbMATH Keywords

Ekeland's principleforward-backward stochastic differential equationsadjoint equationsnear optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

Maximum principle for near-optimality of stochastic delay control problem ⋮ Near-optimal control of stochastic recursive systems via viscosity solution ⋮ Necessary and sufficient conditions for near-optimality of stochastic delay systems ⋮ Maximum principle for near-optimality of mean-field FBSDEs ⋮ Near-optimal control problems for forward-backward regime-switching systems

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