A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications

DOI10.1002/ASJC.2020MaRDI QIDQ6563465FDOQ6563465

Authors: Rania Khallout, Adel Chala 

Publication date: 27 June 2024

Published in: Asian Journal of Control (Search for Journal in Brave)

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zbMATH Keywords

maximum principleoptimal controlvariational principlelogarithmic transformationcash flowrisk-sensitivefully coupled forward-backward stochastic differential equation

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cites Work

• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Title not available (Why is that?)
• On Certain Questions in the Theory of Optimal Control
• Backward stochastic differential equations and applications to optimal control
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Title not available (Why is that?)
• Stochastic maximum principle for optimal control problem of forward and backward system
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• Title not available (Why is that?)
• A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• A new risk-sensitive maximum principle
• Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
• Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
• Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information

Cited In (3)

• \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls

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