Necessary and Sufficient Conditions for Pareto Optimal Solution of Backward Stochastic System With Application

DOI10.1109/TAC.2023.3244483OpenAlexW4321608673MaRDI QIDQ6142400

Unnamed Author, Guangchen Wang, Unnamed Author

Publication date: 26 January 2024

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

Full work available at URL: https://doi.org/10.1109/tac.2023.3244483

zbMATH Keywords

backward stochastic differential equation (BSDE)Ekeland's variational principleclosed-loop representation of open-loop optimal controlPareto cooperative differential gameportfolio and consumption selection

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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