On optimal control problem for backward stochastic doubly systems (Q469981): Difference between revisions
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Summary: We are going to study an approach of optimal control problems where the state equation is a backward doubly stochastic differential equation, and the set of strict (classical) controls need not be convex and the diffusion coefficient and the generator coefficient depend on the terms control. The main result is necessary conditions as well as a sufficient condition for optimality in the form of a relaxed maximum principle. | |||
| Property / review text: Summary: We are going to study an approach of optimal control problems where the state equation is a backward doubly stochastic differential equation, and the set of strict (classical) controls need not be convex and the diffusion coefficient and the generator coefficient depend on the terms control. The main result is necessary conditions as well as a sufficient condition for optimality in the form of a relaxed maximum principle. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 49K45 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6368372 / rank | |||
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Revision as of 16:21, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On optimal control problem for backward stochastic doubly systems |
scientific article |
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On optimal control problem for backward stochastic doubly systems (English)
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11 November 2014
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Summary: We are going to study an approach of optimal control problems where the state equation is a backward doubly stochastic differential equation, and the set of strict (classical) controls need not be convex and the diffusion coefficient and the generator coefficient depend on the terms control. The main result is necessary conditions as well as a sufficient condition for optimality in the form of a relaxed maximum principle.
0 references
