A maximum principle for stochastic optimal control with terminal state constraints, and its applications (Q2474727)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A maximum principle for stochastic optimal control with terminal state constraints, and its applications |
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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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