Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.

DOI10.1016/S0304-4149(00)00005-3zbMath1045.60061WikidataQ128118281 ScholiaQ128118281MaRDI QIDQ1877516

Shige Peng

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

forward-backward stochastic differential equationsstochastic Hamiltonian systemsmatrix-valued Riccati equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Eigenvalue problems for linear operators (47A75) Hamiltonian and Lagrangian mechanics (70H99)

Related Items (11)

Anticipating random periodic solutions. I: SDEs with multiplicative linear noise. ⋮ A note on ``Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions ⋮ Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions ⋮ Solving stochastic optimal control problem via stochastic maximum principle with deep learning method ⋮ Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ A type of time-symmetric forward-backward stochastic differential equations ⋮ Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process ⋮ Solutions to general forward-backward doubly stochastic differential equations ⋮ The delayed doubly stochastic linear quadratic optimal control problem ⋮ On forward-backward stochastic differential equations in a domination-monotonicity framework

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