Necessary condition for optimality of forward-backward doubly system
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Publication:2516951
DOI10.1007/s13370-014-0227-1zbMath1328.49025OpenAlexW2014750965MaRDI QIDQ2516951
Publication date: 4 August 2015
Published in: Afrika Matematika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13370-014-0227-1
maximum principlevariational inequalityadjoint equationnecessary optimality conditionforward-backward doubly stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Optimality conditions for problems involving relations other than differential equations (49K21)
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