Necessary and sufficient conditions of optimality for optimal control problems of forward and backward systems
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Publication:3087744
DOI10.1137/S0040585X97984474zbMATH Open1226.60087OpenAlexW2084898298MaRDI QIDQ3087744FDOQ3087744
Authors: Seïd Bahlali 
Publication date: 16 August 2011
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97984474
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Cited In (19)
- On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
- Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
- Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
- Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
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- A class of optimal control problems of forward-backward systems with input constraint
- Necessary and sufficient conditions of optimal control for infinite dimensional SDEs
- A necessary condition of optimality for uncertain optimal control problem
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- Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
- Necessary condition for optimality of forward-backward doubly system
- Necessary conditions for backward doubly stochastic control system
- Design of optimal state controller robust to external disturbance for one class of nonstationary stochastic systems
- Stochastic controls of backward systems
- Necessary and sufficient condition for optimality of a backward non-Markovian system
- Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
- Necessary conditions in stochastic linear quadratic problems and their applications
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