Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs

Systems and Control Letters

Volumn 58, Issue 12, 2009, Pages 857-864

  Bahlali, Khaled ^a   Khelfallah, Nabil ^b   Mezerdi, Brahim ^b  

^a USTV   (France)

^b UNIVERSITY OF BISKRA   (Algeria)

Author keywords

Adjoint equation; Ekeland's variational principal; Forward backward stochastic differential equations; Maximum principle; Stochastic control

Indexed keywords

ADJOINT EQUATIONS; ADJOINTS; BACKWARD COMPONENTS; CONTROL PROBLEMS; CONTROL VARIABLE; EKELAND'S VARIATIONAL PRINCIPLE; FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; NEAR OPTIMALITY; NEAR-OPTIMAL CONTROL; OPTIMAL CONTROLS; OPTIMALITY; STOCHASTIC CONTROL; SUFFICIENT CONDITIONS; VARIATIONAL PRINCIPAL;

DIFFERENTIAL EQUATIONS; MAXIMUM PRINCIPLE; MEASUREMENT THEORY; NONLINEAR EQUATIONS; OPTIMIZATION; STOCHASTIC SYSTEMS; TRAJECTORIES; VARIATIONAL TECHNIQUES;

STOCHASTIC CONTROL SYSTEMS;

EID: 73049084077     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.sysconle.2009.10.005     Document Type: Article

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