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Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
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References

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  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control494 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1995Solution of forward-backward stochastic differential equations402 cited
  • 1993Backward-Forward Stochastic Differential Equations345 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 1999Forward-backward stochastic differential equations and quasilinear parabolic PDEs329 cited
  • 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems322 cited
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  • 2007Stationary solutions of SPDEs and infinite horizon BDSDEs72 cited

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  • 2020Backward doubly stochastic Volterra integral equations and their applications

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30 cited
  • 2021Maximum principle for discrete-time stochastic optimal control problem and stochastic game30 cited