Near-optimal control for stochastic recursive problems
DOI10.1016/j.sysconle.2010.10.010zbMath1210.93083OpenAlexW1999079962MaRDI QIDQ2430960
Xun Li, Jianhui Huang, Guangchen Wang, Eddie C. M. Hui
Publication date: 8 April 2011
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2010.10.010
Ekeland's principlebackward stochastic differential equationsufficient conditionnecessary conditionnear-optimal
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)
Related Items (12)
Cites Work
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