Near-relaxed control problem of fully coupled forward-backward doubly system

DOI10.1007/S40304-015-0068-8MaRDI QIDQ902283zbMATHOpenAlexFDO

Authors Adel Chala

Publication date 7 January 2016

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40304-015-0068-8

zbMATH Keywords

maximum principleadjoint equationvariational principlerelaxed controlfully coupled forward-backward doubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1343080 (Why is no real title available?)
• scientific article; zbMATH DE number 7618765 (Why is no real title available?)
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• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward doubly stochastic differential equations with discontinuous coefficients
• Backward doubly stochastic differential equations with non-Lipschitz coefficients
• Backward stochastic differential equations and applications to optimal control
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Maximum principle for backward doubly stochastic control systems with applications
• Necessary conditions for optimality for a diffusion with a non-smooth drift
• Optimality conditions of controlled backward doubly stochastic differential equations
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• The relaxed optimal control problem for mean-field SDEs systems and application
• The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients

Cited in

(3)

• Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
• The general relaxed control problem of fully coupled forward-backward doubly system
• The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem

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