Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems

DOI10.1002/OCA.2875arXiv1907.04209OpenAlexW4214493947MaRDI QIDQ6078631

Shaolin Ji, Haodong Liu

Publication date: 25 October 2023

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.04209

zbMATH Keywords

maximum principlestochastic optimal controlbackward stochastic difference equationsmonotone conditionforward-backward stochastic difference equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic difference equations (39A50)

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