Near-optimality conditions in stochastic control of linear fully coupled FBSDEs (Q1689681): Difference between revisions

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Property / DOI: 10.1007/s13370-015-0346-3 / rank
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Latest revision as of 03:47, 11 December 2024

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Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
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    Near-optimality conditions in stochastic control of linear fully coupled FBSDEs (English)
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    17 January 2018
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    fully coupled forward-backward stochastic differential equations
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    stochastic control
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    maximum principle
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    adjoint equation
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    Ekeland's variational principal
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