Optimal control problems for linear backward doubly stochastic differential equations

DOI10.1515/ROSE-2014-0014MaRDI QIDQ742064zbMATH OpenOpenAlexFDO

Authors Boulekhrass Gherbal

Publication date 17 September 2014

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2014-0014

zbMATH Keywords

adjoint equationbackward doubly stochastic differential equationsstochastic maximum principlestochastic optimal controlconvex optimization principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

Recommendations

• Existence and optimality conditions in stochastic control of linear BSDEs
• On optimal control problem for backward stochastic doubly systems
• Optimal control of backward doubly stochastic system
• Optimality conditions of controlled backward doubly stochastic differential equations
• Existence of optimal controls for systems of controlled forward-backward doubly SDEs

Cited in

(6)

• On optimal control problem for backward stochastic doubly systems
• Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
• Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type
• The stochastic control problem for forward-backward doubly system with Lévy processes
• Existence and optimality conditions in stochastic control of linear BSDEs
• Existence of optimal controls for systems of controlled forward-backward doubly SDEs

This page was built for publication: Optimal control problems for linear backward doubly stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q742064)