Stochastic controls of backward systems
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Publication:3103216
DOI10.1515/ROSE.2010.007zbMath1226.93135MaRDI QIDQ3103216
Publication date: 26 November 2011
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
optimal controlmaximum principlevariational inequalityvariational principlebackward stochastic differential equationadjoint equation
Related Items (3)
Optimal variational principle for backward stochastic control systems associated with Lévy processes ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ A variational formula for controlled backward stochastic partial differential equations and some applications
Cites Work
- Adapted solution of a backward stochastic differential equation
- Stochastic controls with terminal contingent conditions
- Backward stochastic differential equations and applications to optimal control
- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Stochastic maximum principle for optimal control problem of forward and backward system
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