A maximum principle for stochastic optimal control with terminal state constraints, and its applications (Q2474727)
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scientific article; zbMATH DE number 5244417
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| English | A maximum principle for stochastic optimal control with terminal state constraints, and its applications |
scientific article; zbMATH DE number 5244417 |
Statements
A maximum principle for stochastic optimal control with terminal state constraints, and its applications (English)
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6 March 2008
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forward-backward stochastic differential equation (FBSDE)
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state constraints
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Ekeland's variational principle
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maximum principle
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recursive utility
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linear-quadratic control
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0.95433587
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0.95131874
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0.9497071
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0.94630754
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0.94624484
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0.93996334
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0.93676597
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