Near-optimal control problems for linear forward-backward stochastic systems
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Publication:983952
DOI10.1016/J.AUTOMATICA.2009.11.016zbMATH Open1205.93165OpenAlexW2080280320MaRDI QIDQ983952FDOQ983952
Authors: Jianhui Huang, Xun Li, Guangchen Wang 
Publication date: 13 July 2010
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2009.11.016
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necessary conditionsufficient conditionEkeland's principlespike variationnear-optimallinear forward-backward stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)
Cites Work
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- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Nonconvex minimization problems
- Backward stochastic differential equations and applications to optimal control
- Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
- Near-optimal controls of random-switching LQ problems with indefinite control weight costs
Cited In (39)
- Near-optimal control for stochastic recursive problems
- A stochastic epidemic model with nonmonotone incidence rate: sufficient and necessary conditions for near-optimality
- 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
- Near-optimal control for a stochastic SIRS model with imprecise parameters
- Near-maximum principle for general recursive utility optimal control problem
- Sliding dynamics and optimal control of avian influenza model with saturated incidence rate
- Stochastic \(L^1\)-optimal control via forward and backward sampling
- Markovian switching for near-optimal control of a stochastic SIV epidemic model
- Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- Near-optimality in stochastic control of two competitive capital accumulation systems
- A class of optimal control problems of forward-backward systems with input constraint
- Sufficient and necessary conditions for stochastic near-optimal controls: a stochastic chemostat model with non-zero cost inhibiting
- Near-optimal control for a stochastic multi-strain epidemic model with age structure and Markovian switching
- On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
- Near-optimality of a stochastic economic-environment model with pollution control strategies
- A revisit to stochastic near-optimal controls: the critical case
- Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system
- Near‐optimal control of a stochastic pine wilt disease model with prevention strategies
- Near‐optimal control of a stochastic model for mountain pine beetles with pesticide application
- A general maximum principle for optimal control of forward-backward stochastic systems
- Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
- Optimal vaccination strategy for an SIRS model with imprecise parameters and Lévy noise
- Existence of optimal controls for systems driven by FBSDEs
- Maximum principle for near-optimality of stochastic delay control problem
- Stochastic near-optimal control for drug therapy in a random viral model with cellular immune response
- Near-optimal control of stochastic recursive systems via viscosity solution
- Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
- Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
- Stochastic maximum principle for optimal control problem with a stopping time cost functional
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
- A new approach of optimal control problem for mean-field forward-backward systems
- Near-optimal control of a stochastic vegetation-water system with reaction diffusion
- The Norm Optimal Control Problem for Stochastic Linear Control Systems
- The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
- Near-optimal control and threshold behavior of an avian influenza model with spatial diffusion on complex networks
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