Optimal control problems for linear backward doubly stochastic differential equations
DOI10.1515/ROSE-2014-0014zbMATH Open1320.49010OpenAlexW2077098423MaRDI QIDQ742064FDOQ742064
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
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adjoint equationbackward doubly stochastic differential equationsstochastic maximum principlestochastic optimal controlconvex optimization principle
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)
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
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