Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
DOI10.1007/s13370-015-0346-3zbMath1378.93147OpenAlexW272756902MaRDI QIDQ1689681
Nabil Khelfallah, Brahim Mezerdi
Publication date: 17 January 2018
Published in: Afrika Matematika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13370-015-0346-3
maximum principlestochastic controladjoint equationEkeland's variational principalfully coupled forward-backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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