Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives

DOI10.1016/j.jfa.2016.04.031zbMath1339.93121arXiv1403.4034OpenAlexW2962948879MaRDI QIDQ285814

Salah-Eldin A. Mohammed, Bernt Øksendal, K. R. Dahl, Elin Engen Røse

Publication date: 19 May 2016

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.4034

zbMATH Keywords

maximum principlestochastic controlMalliavin derivativenoisy memory

Mathematics Subject Classification ID

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