Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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Publication:4253013
DOI10.1137/S0363012996313549zbMath0931.60048OpenAlexW1985050062MaRDI QIDQ4253013
Publication date: 24 June 1999
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012996313549
differential gamesstochastic optimal controlstochastic differential equationsHamiltonian systemstochastic analysis
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)
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