Backward stochastic differential equations and applications to optimal control View Full Text


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Article Info

DATE

1993-03

AUTHORS

Shige Peng

ABSTRACT

We study the existence and uniqueness of the following kind of backward stochastic differential equation, under local Lipschitz condition, where (Ω, ℱ,P, W(·), ℱt) is a standard Wiener process, for any given (x, y),f(x, y, ·) is an ℱt-adapted process, andX is ℱt-measurable. The problem is to look for an adapted pair (x(·),y(·)) that solves the above equation. A generalized matrix Riccati equation of that type is also investigated. A new form of stochastic maximum principle is obtained. More... »

PAGES

125-144

References to SciGraph publications

  • 2009-02-24. General necessary conditions for optimal control of stochastic systems in STOCHASTIC SYSTEMS: MODELING, IDENTIFICATION AND OPTIMIZATION, II
  • Journal

    TITLE

    Applied Mathematics & Optimization

    ISSUE

    2

    VOLUME

    27

    Author Affiliations

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/bf01195978

    DOI

    http://dx.doi.org/10.1007/bf01195978

    DIMENSIONS

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