On optimal control problem for backward stochastic doubly systems
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Summary: We are going to study an approach of optimal control problems where the state equation is a backward doubly stochastic differential equation, and the set of strict (classical) controls need not be convex and the diffusion coefficient and the generator coefficient depend on the terms control. The main result is necessary conditions as well as a sufficient condition for optimality in the form of a relaxed maximum principle.
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Cites work
- A general optimality conditions for stochastic control problems of jump diffusions
- A type of time-symmetric forward-backward stochastic differential equations
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Backward doubly stochastic differential equations with discontinuous coefficients
- Backward doubly stochastic differential equations with non-Lipschitz coefficients
- Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
- Maximum principle for backward doubly stochastic control systems with applications
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- Necessary conditions for optimality in relaxed stochastic control problems
- Optimality conditions of controlled backward doubly stochastic differential equations
- The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
Cited in
(19)- The general relaxed control problem of fully coupled forward-backward doubly system
- Stochastic optimal control for backward stochastic partial differential systems
- An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
- Necessary condition for optimal control of doubly stochastic systems
- The stochastic control problem for forward-backward doubly system with Lévy processes
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- Second-order Taylor expansion for backward doubly stochastic control system
- Stochastic controls of backward systems
- Optimality conditions of controlled backward doubly stochastic differential equations
- Stochastic maximum principle for delayed backward doubly stochastic control systems
- The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
- Second-order Taylor expansion for backward doubly stochastic control system
- Optimal control of backward doubly stochastic system
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- On mean-field control problems for backward doubly stochastic systems
- Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type
- Optimal control problems for linear backward doubly stochastic differential equations
- Existence of optimal controls for systems of controlled forward-backward doubly SDEs
- Near-relaxed control problem of fully coupled forward-backward doubly system
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