Optimality conditions of controlled backward doubly stochastic differential equations

DOI10.1515/ROSE.2010.014zbMath1226.93136OpenAlexW2331422035MaRDI QIDQ3103223

Boulekhrass Gherbal, Seid Bahlali

Publication date: 26 November 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2010.014

zbMATH Keywords

optimal controlvariational inequalitystochastic maximum principleadjoint equationbackward doubly stochastic differential equationsoptimization principle

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 (10)

Backward doubly stochastic equations with jumps and comparison theorems ⋮ Quantum Hamilton equations for multidimensional systems ⋮ Particle Spin Described by Quantum Hamilton Equations ⋮ A numerical scheme for backward doubly stochastic differential equations ⋮ Necessary condition for optimal control of doubly stochastic systems ⋮ The general relaxed control problem of fully coupled forward-backward doubly system ⋮ Near-relaxed control problem of fully coupled forward-backward doubly system ⋮ On optimal control problem for backward stochastic doubly systems ⋮ An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications ⋮ Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes

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