Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations
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Publication:4652561
DOI10.1137/S0363012903428664zbMath1101.93086MaRDI QIDQ4652561
Marco Fuhrman, Gianmario Tessitore
Publication date: 28 February 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012903428664
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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