Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation

DOI10.1155/2014/361259zbMath1468.49024OpenAlexW2087092308WikidataQ59036599 ScholiaQ59036599MaRDI QIDQ1723930

Mao-ning Tang

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/361259

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Near-optimality conditions in stochastic control of linear fully coupled FBSDEs ⋮ General linear forward and backward stochastic difference equations with applications ⋮ Maximum principle for near-optimality of mean-field FBSDEs

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