A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
DOI10.1137/20M137238XzbMath1492.93200arXiv2010.10680OpenAlexW3094625557WikidataQ114074146 ScholiaQ114074146MaRDI QIDQ5081645
Shaolin Ji, Rundong Xu, Ming Shang Hu
Publication date: 17 June 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.10680
maximum principleBMO-martingalequadratic BSDEsforward-backward stochastic control systemslinear BSDEs with unbounded coefficients
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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