Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.

DOI10.1016/S0304-4149(00)00005-3MaRDI QIDQ1877516zbMATH OpenWikidataFDO

Authors Shige Peng

Publication date 7 September 2004

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic Hamiltonian systemsforward-backward stochastic differential equationsmatrix-valued Riccati equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Eigenvalue problems for linear operators (47A75) Hamiltonian and Lagrangian mechanics (70H99)

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Cites work

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• On the Separation Theorem of Stochastic Control
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• Solution of forward-backward stochastic differential equations
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Cited in

(13)

• Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
• Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application
• Anticipating random periodic solutions. I: SDEs with multiplicative linear noise.
• Eigenvalue problem of doubly stochastic Hamiltonian systems with boundary conditions
• Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
• Solutions to general forward-backward doubly stochastic differential equations
• A note on ``Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions
• A type of time-symmetric forward-backward stochastic differential equations
• Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions
• The delayed doubly stochastic linear quadratic optimal control problem
• Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
• scientific article; zbMATH DE number 1506043 (Why is no real title available?)
• On forward-backward stochastic differential equations in a domination-monotonicity framework

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