Optimal control problems for linear backward doubly stochastic differential equations

DOI10.1515/ROSE-2014-0014zbMath1320.49010OpenAlexW2077098423MaRDI QIDQ742064

Boulekhrass Gherbal

Publication date: 17 September 2014

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2014-0014

zbMATH Keywords

stochastic optimal controlstochastic maximum principleadjoint equationbackward doubly stochastic differential equationsconvex optimization principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type ⋮ Existence of optimal controls for systems of controlled forward-backward doubly SDEs

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