Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Stochastic difference equations (39A50)

Cites Work

Unnamed Item
Forward-backward linear quadratic stochastic optimal control problem with delay
A type of general forward-backward stochastic differential equations and applications
Control and estimation of systems with input/output delays.
Maximum principle for the stochastic optimal control problem with delay and application
Forward-backward stochastic differential equations and their applications
Backward-forward stochastic differential equations
Time-delay systems: an overview of some recent advances and open problems.
On stabilizability and exact observability of stochastic systems with their applications.
General linear forward and backward stochastic difference equations with applications
Numerical method for backward stochastic differential equations
Solution of forward-backward stochastic differential equations
Maximum principle for discrete-time stochastic optimal control problem and stochastic game
A global maximum principle for stochastic optimal control problems with delay and applications
A maximum principle for fully coupled stochastic control systems of mean-field type
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
A forward-backward stochastic algorithm for quasi-linear PDEs
Stabilization of Discrete-time Systems with Multiplicative Noise and Multiple Delays in the Control Variable
Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise
Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
Dynamic Conic Finance via Backward Stochastic Difference Equations
An Introductory Approach to Duality in Optimal Stochastic Control
Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
Solution to Discrete-Time Linear FBSDEs with Application to Stochastic Control Problem
Delayed Optimal Control of Stochastic LQ Problem
Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems
H/sup /spl infin// control and estimation with preview-part II: fixed-size ARE solutions in discrete time

This page was built for publication: Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications