Maximum principle for forward–backward SDEs with a general cost functional
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Publication:5348350
DOI10.1080/00207179.2016.1214876zbMath1367.93716OpenAlexW2484902050MaRDI QIDQ5348350
Publication date: 15 August 2017
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2016.1214876
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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