Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (Q3021251): Difference between revisions

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Property / DOI: 10.1239/aap/1308662493 / rank
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Latest revision as of 08:45, 20 December 2024

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Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
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    Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (English)
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    22 July 2011
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    optimal control
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    stochastic delay equation
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    Lévy process
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    maximum principle
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    Hamiltonian
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    adjoint process
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    time-advanced BSDE
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