Near-optimal control problems for linear forward-backward stochastic systems

DOI10.1016/j.automatica.2009.11.016zbMath1205.93165MaRDI QIDQ983952

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

zbMATH Keywords

Ekeland's principle; sufficient condition; necessary condition; spike variation; near-optimal; linear forward-backward stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Existence of optimal controls for systems driven by FBSDEs, On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality, Near-optimal control for stochastic recursive problems

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