An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
DOI10.1515/ROSE-2020-2024zbMATH Open1433.93155OpenAlexW3000839619WikidataQ126319178 ScholiaQ126319178MaRDI QIDQ1986110FDOQ1986110
Authors: Dahbia Hafayed, Adel Chala 
Publication date: 7 April 2020
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2020-2024
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Cites Work
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- Maximum principle for backward doubly stochastic control systems with applications
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- Stochastic calculus with anticipating integrands
- A type of time-symmetric forward-backward stochastic differential equations
- Optimality conditions of controlled backward doubly stochastic differential equations
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- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
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- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
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- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
- A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
Cited In (5)
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
- Title not available (Why is that?)
- L p -solutions of backward doubly stochastic differential equations with time delayed generators
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