Existence and optimality conditions in stochastic control of linear BSDEs
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Publication:3103219
DOI10.1515/ROSE.2010.010zbMath1226.49016MaRDI QIDQ3103219
Boulekhrass Gherbal, Brahim Mezerdi, Khaled Bahlali
Publication date: 26 November 2011
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
49J55: Existence of optimal solutions to problems involving randomness
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Cites Work
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- Backward stochastic differential equations and applications to optimal control
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- Backward Stochastic Differential Equations in Finance
- Stochastic maximum principle for optimal control problem of forward and backward system