Stochastic controls of backward systems
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Cites work
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and applications to optimal control
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
- Stochastic controls with terminal contingent conditions
- Stochastic maximum principle for optimal control problem of forward and backward system
Cited in
(9)- Stochastic controls with terminal contingent conditions
- Stochastic optimal control for backward stochastic partial differential systems
- A variational formula for controlled backward stochastic partial differential equations and some applications
- A maximum principle for general backward stochastic differential equation
- Backstepping control in vector form for stochastic Hamiltonian systems
- Necessary and sufficient condition for optimality of a backward non-Markovian system
- Necessary and sufficient conditions of optimality for optimal control problems of forward and backward systems
- Optimal variational principle for backward stochastic control systems associated with Lévy processes
- Backstepping control design for stochastic systems driven by Lévy processes
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