A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
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Publication:4558886
DOI10.1137/18M1179547zbMath1403.93197arXiv1803.02109OpenAlexW2963463430WikidataQ128873371 ScholiaQ128873371MaRDI QIDQ4558886
Shaolin Ji, Xiaole Xue, Ming Shang Hu
Publication date: 30 November 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.02109
maximum principleforward-backward stochastic differential equationsstochastic recursive optimal controlspike variationnonconvex control domain
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)
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