Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems
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Publication:5095532
DOI10.1080/00207179.2021.1889033zbMath1497.93241arXiv1812.11283OpenAlexW3130476070MaRDI QIDQ5095532
Publication date: 9 August 2022
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.11283
maximum principlestochastic optimal controlbackward stochastic difference equationsmonotone conditionforward-backward stochastic difference equations
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A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ Stochastic maximum principle for discrete time mean‐field optimal control problems
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