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

DOI10.1155/2014/361259zbMATH Open1468.49024OpenAlexW2087092308WikidataQ59036599 ScholiaQ59036599MaRDI QIDQ1723930FDOQ1723930

Authors: Mao-ning Tang 

Publication date: 14 February 2019

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

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

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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
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• General linear forward and backward stochastic difference equations with applications
• 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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