Fully coupled forward-backward stochastic differential equations and applications to optimal control

SIAM Journal on Control and Optimization

Volumn 37, Issue 3, 1999, Pages 825-843

  Peng, Shige ^a   Wu, Zhen ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEM ANALYSIS; DIFFERENTIAL EQUATIONS; STOCHASTIC CONTROL SYSTEMS;

HAMILTON SYSTEMS; STOCHASTIC DIFFERENTIAL EQUATIONS;

OPTIMAL CONTROL SYSTEMS;

EID: 0032634560     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012996313549     Document Type: Article

References (20)

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