Optimality conditions of controlled backward doubly stochastic differential equations

DOI10.1515/ROSE.2010.014zbMath1226.93136OpenAlexW2331422035MaRDI QIDQ3103223

Boulekhrass Gherbal, Seid Bahlali

Publication date: 26 November 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2010.014

zbMATH Keywords

optimal controlvariational inequalitystochastic maximum principleadjoint equationbackward doubly stochastic differential equationsoptimization principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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