Backward stochastic differential equations and applications to optimal control

DOI10.1007/BF01195978zbMath0769.60054OpenAlexW1985059387MaRDI QIDQ2366091

Shige Peng

Publication date: 29 June 1993

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01195978

zbMATH Keywords

stochastic differential equationstochastic maximum principleexistence and uniquenessmatrix Riccati equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• A General Stochastic Maximum Principle for Optimal Control Problems
• Singular perturbation results for a class of stochastic control problems
• Stochastic Hamilton–Jacobi–Bellman Equations
• Stochastic Differential Utility
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• An Introductory Approach to Duality in Optimal Stochastic Control
• On the Separation Theorem of Stochastic Control
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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