The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients

DOI10.1007/s10883-021-09558-xzbMath1497.93239OpenAlexW3194236171MaRDI QIDQ2155923

Nabil Khelfallah, Hanine Azizi

Publication date: 15 July 2022

Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10883-021-09558-x

zbMATH Keywords

maximum principlebackward stochastic differential equationsoptimal stochastic controllocally Lipschitz coefficientsspike variation technique

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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