Stochastic recursive optimal control problem with time delay and applications (Q256324): Difference between revisions
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID: 34K50 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6552855 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic optimal control | |||
| Property / zbMATH Keywords: stochastic optimal control / rank | |||
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backward stochastic differential equation | |||
| Property / zbMATH Keywords: backward stochastic differential equation / rank | |||
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stochastic differential delayed equation | |||
| Property / zbMATH Keywords: stochastic differential delayed equation / rank | |||
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recursive utility | |||
| Property / zbMATH Keywords: recursive utility / rank | |||
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generalized HJB equation | |||
| Property / zbMATH Keywords: generalized HJB equation / rank | |||
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maximum principle | |||
| Property / zbMATH Keywords: maximum principle / rank | |||
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Revision as of 12:25, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic recursive optimal control problem with time delay and applications |
scientific article |
Statements
Stochastic recursive optimal control problem with time delay and applications (English)
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9 March 2016
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stochastic optimal control
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backward stochastic differential equation
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stochastic differential delayed equation
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recursive utility
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generalized HJB equation
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maximum principle
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