Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
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Publication:3083219
DOI10.1137/080743561zbMath1222.49040OpenAlexW2076700910WikidataQ57612070 ScholiaQ57612070MaRDI QIDQ3083219
Yuecai Han, Shige Peng, Zhen Wu
Publication date: 21 March 2011
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080743561
optimal controlstochastic maximum principlestochastic Hamiltonian systemsbackward Itô's integrallinear quadratic problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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