A general maximum principle for optimal control of forward-backward stochastic systems

DOI10.1016/j.automatica.2013.02.005zbMath1321.49041OpenAlexW2037349991MaRDI QIDQ490631

Zhen Wu

Publication date: 27 August 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.02.005

zbMATH Keywords

maximum principlelinear-quadratic optimal controlstochastic optimal controlbackward stochastic differential equationforward-backward stochastic control system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

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