Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations

DOI10.1137/S0363012903428664zbMath1101.93086OpenAlexW2072047912MaRDI QIDQ4652561

Marco Fuhrman, Gianmario Tessitore

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012903428664

zbMATH Keywords

stochastic optimal controlforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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