Near-optimal control problems for linear forward-backward stochastic systems
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Publication:983952
DOI10.1016/j.automatica.2009.11.016zbMath1205.93165MaRDI QIDQ983952
Xun Li, Jianhui Huang, Guangchen Wang
Publication date: 13 July 2010
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2009.11.016
Ekeland's principle; sufficient condition; necessary condition; spike variation; near-optimal; linear forward-backward stochastic differential equation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49J55: Existence of optimal solutions to problems involving randomness
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