A maximum principle for stochastic optimal control with terminal state constraints, and its applications (Q2474727)

From MaRDI portal
scientific article
Language Label Description Also known as
English
A maximum principle for stochastic optimal control with terminal state constraints, and its applications
scientific article

    Statements

    A maximum principle for stochastic optimal control with terminal state constraints, and its applications (English)
    0 references
    0 references
    6 March 2008
    0 references
    forward-backward stochastic differential equation (FBSDE)
    0 references
    state constraints
    0 references
    Ekeland's variational principle
    0 references
    maximum principle
    0 references
    recursive utility
    0 references
    linear-quadratic control
    0 references

    Identifiers