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Near-optimal control problems for linear forward–backward stochastic systems · Study

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ArticleNear-optimal control problems for linear forward–backward stochastic systems

Jianhui Huang2009

Article2009

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

Jianhui Huang · Xun Li · Guangchen Wang

52 citations·0/0 files stored·Automatica

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Stochastic processes and financial applications Advanced Control Systems Optimization Stability and Controllability of Differential Equations

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References

1999Stochastic controls : Hamiltonian systems and HJB equations 1993Backward stochastic differential equations and applications to optimal control 1998Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality 2010Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

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2013On Near-Optimal Mean-Field Stochastic Singular Controls: Necessary and Sufficient Conditions for Near-Optimality 2011Existence of optimal controls for systems driven by FBSDEs

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Year2009

Typearticle

Published2009-11-29

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.automatica.2009.11.016

openalex_workW2080280320

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