Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
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Publication:294516
DOI10.1007/S11425-015-5068-3zbMATH Open1338.93407OpenAlexW1632549917MaRDI QIDQ294516FDOQ294516
Publication date: 16 June 2016
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-015-5068-3
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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- Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints
- Stochastic maximum principle for recursive optimal control problems with varying terminal time
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- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
- Maximum principle for a stochastic delayed system involving terminal state constraints
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