Optimal relaxed control for a decoupled \(G\)-FBSDE
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Publication:6614695
DOI10.1007/s10957-024-02495-2zbMATH Open1546.60104MaRDI QIDQ6614695
Omar Kebiri, Hafida Bouanani, Amel Redjil, Carsten Hartmann
Publication date: 7 October 2024
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equation\(G\)-Brownian motionrelaxed optimal controldecoupled forward-backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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