Mixed optimal control of forward‐backward stochastic system

DOI10.1002/OCA.2705zbMath1478.93747OpenAlexW3122475198MaRDI QIDQ5159777

Huanjun Zhang

Publication date: 28 October 2021

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2705

zbMATH Keywords

forward-backward stochastic differential equationlinear-quadratic control systemsmixed deterministic and stochastic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach

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