A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems

DOI10.1137/21M1418204zbMath1498.93781arXiv2102.01484OpenAlexW3136202090WikidataQ114074041 ScholiaQ114074041MaRDI QIDQ5869808

Rundong Xu, Shaolin Ji

Publication date: 29 September 2022

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

Full work available at URL: https://arxiv.org/abs/2102.01484

zbMATH Keywords

stochastic maximum principleforward-backward stochastic differential equationsBMO martingalesmethod of successive approximationsstochastic recursive optimal control

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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