Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems

DOI10.1016/J.SYSCONLE.2024.105748zbMATH Open1537.93337MaRDI QIDQ6540838

Qingxin Meng, Maozhong Xu, Mao-ning Tang

Publication date: 17 May 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

method of continuationinfinite dimensionstochastic linear-quadratic problemdomination-monotonicity conditionforward-backward stochastic evolution equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multivariable systems, multidimensional control systems (93C35) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by ordinary differential equations (93C15)

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