Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation

DOI10.1155/2014/361259MaRDI QIDQ1723930zbMATH OpenOpenAlexWikidataFDO

Authors Mao-ning Tang

Publication date 14 February 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/361259

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited in

(11)

• Maximum principle for near-optimality of mean-field FBSDEs
• Near-optimal control problems for forward-backward regime-switching systems
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• General linear forward and backward stochastic difference equations with applications
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Near-optimal control problems for linear forward-backward stochastic systems
• Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
• A verification theorem for optimal control of fully coupled forward-backward stochastic differential equations within the framework of viscosity solutions
• Necessary condition for near optimal control of linear forward-backward stochastic differential equations
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators

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