Solution to Forward–Backward Stochastic Differential Equations With Random Coefficients and Application to Deterministic Optimal Control

DOI10.1109/TAC.2022.3144331OpenAlexW4206973828WikidataQ115263988 ScholiaQ115263988MaRDI QIDQ6053208

Juanjuan Xu, Hongdan Li, Huan-Shui Zhang

Publication date: 26 September 2023

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2022.3144331

zbMATH Keywords

discretizationrandom coefficientscoupled stochastic Riccati-type differential equationslinear coupled forward-backward stochastic differential equations (FBSDEs)

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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