Near-relaxed control problem of fully coupled forward-backward doubly system

DOI10.1007/s40304-015-0068-8zbMath1327.93408OpenAlexW1950997716MaRDI QIDQ902283

Adel Chala

Publication date: 7 January 2016

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-015-0068-8

zbMATH Keywords

maximum principlevariational principleadjoint equationrelaxed controlfully coupled forward-backward doubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes

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