Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions
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Publication:5348481
DOI10.1137/16M1059801zbMath1368.93791arXiv1602.05661MaRDI QIDQ5348481
Publication date: 18 August 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.05661
duality principle; first order necessary optimality conditions; forward-backward stochastic Volterra integral equations; linear stochastic integral equations with nonadapted solutions; set-value analysis
49J53: Set-valued and variational analysis
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
60H20: Stochastic integral equations
Related Items
Stochastic Optimal Control Problems with Control and Initial-Final States Constraints, Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints, First and second order necessary conditions for stochastic optimal controls
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