Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
DOI10.1016/J.SYSCONLE.2009.10.005zbMATH Open1191.93142OpenAlexW2005407396MaRDI QIDQ976185FDOQ976185
Authors: Khaled Bahlali, Nabil Khelfallah, Brahim Mezerdi 
Publication date: 17 June 2010
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2009.10.005
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Cites Work
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- Necessary conditions for optimality for a diffusion with a non-smooth drift
- Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
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Cited In (28)
- Near-optimal stochastic control for radiotherapy treatment in a random cancer model
- On optimal control of forward-backward stochastic differential equations
- Near-optimal control for stochastic recursive problems
- Necessary and sufficient conditions for near-optimality of stochastic delay systems
- On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
- Maximum principle for near-optimality of mean-field FBSDEs
- Near-optimal control problems for forward-backward regime-switching systems
- Necessary and sufficient conditions for near‐optimal controls of a stochastic West Nile virus system with spatial diffusion
- Near-maximum principle for general recursive utility optimal control problem
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- Forward-backward linear quadratic stochastic optimal control problem with delay
- A revisit to stochastic near-optimal controls: the critical case
- Near-optimal control problems for linear forward-backward stochastic systems
- Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system
- On optimal control of coupled mean-field forward-backward stochastic equations
- Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
- Existence of optimal controls for systems driven by FBSDEs
- Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
- Maximum principle for near-optimality of stochastic delay control problem
- Near-optimal control of stochastic recursive systems via viscosity solution
- Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps
- Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
- Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
- On necessary and sufficient conditions for near-optimal singular stochastic controls
- Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps
- Near optimality conditions in stochastic control of jump diffusion processes
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