The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
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Publication:2203039
DOI10.1016/j.automatica.2020.109069zbMath1448.93349OpenAlexW3043771845WikidataQ115360078 ScholiaQ115360078MaRDI QIDQ2203039
Publication date: 1 October 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2020.109069
stochastic maximum principlerisk-sensitive controlforward-backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)
Related Items (6)
Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Robust risk‐sensitive control ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
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