Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
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Publication:3058498
DOI10.1137/090763287zbMath1202.93180OpenAlexW1980404349MaRDI QIDQ3058498
Publication date: 3 December 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://stars.library.ucf.edu/facultybib2010/990
forward-backward stochastic differential equationsoptimal stochastic controlspike variation techniquemixed initial-terminal conditionsoptimality variational principle
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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