A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
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Publication:2257654
DOI10.1016/j.jmaa.2013.05.013zbMath1306.49041MaRDI QIDQ2257654
Publication date: 26 February 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.05.013
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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