Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient (Q5086449): Difference between revisions

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Latest revision as of 14:03, 29 July 2024

scientific article; zbMATH DE number 7553388
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English
Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient
scientific article; zbMATH DE number 7553388

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    Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient (English)
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    5 July 2022
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    optimal control
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    forward-backward stochastic differential equations
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    stochastic control
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    Hamilton-Jacobi-Bellman equation
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    relaxed control
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    strict control
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