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

DOI10.1007/S40304-015-0068-8zbMATH Open1327.93408OpenAlexW1950997716MaRDI QIDQ902283FDOQ902283

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

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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)

Cites Work

• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
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• Optimality conditions of controlled backward doubly stochastic differential equations
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• Stochastic maximum principle for optimal control problem of forward and backward system
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• Necessary conditions for optimality for a diffusion with a non-smooth drift
• 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
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• Backward doubly stochastic differential equations with non-Lipschitz coefficients

Cited In (3)

• The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
• 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

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