An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications

DOI10.1515/ROSE-2020-2024MaRDI QIDQ1986110zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

optimal controlstochastic maximum principlevariational principlelogarithmic transformationbackward doubly stochastic differential equationrisk-sensitive

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
• A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
• A new risk-sensitive maximum principle
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• A type of time-symmetric forward-backward stochastic differential equations
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Maximum principle for backward doubly stochastic control systems with applications
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Optimality conditions of controlled backward doubly stochastic differential equations
• Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
• Stochastic calculus with anticipating integrands
• Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application

Cited in

(5)

• Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
• 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
• scientific article; zbMATH DE number 7112810 (Why is no real title available?)
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators

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