A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications

DOI10.1002/asjc.2020MaRDI QIDQ6563465

Adel Chala, Rania Khallout

Publication date: 27 June 2024

Published in: Asian Journal of Control (Search for Journal in Brave)

zbMATH Keywords

optimal controlmaximum principlevariational principlecash flowlogarithmic transformationrisk-sensitivefully coupled forward-backward stochastic differential equation

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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