Publication:3180923

zbMath1363.93256MaRDI QIDQ3180923

Tianyang Nie, Jing-Tao Shi

Publication date: 6 January 2017

zbMATH Keywords

maximum principle; stochastic optimal control; dynamic programming principle; fully coupled forward-backward stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness