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

Automatica

Volumn 46, Issue 2, 2010, Pages 397-404

  Huang, Jianhui ^a   Li, Xun ^a   Wang, Guangchen ^b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b SHANDONG NORMAL UNIVERSITY   (China)

Author keywords

Ekeland's principle; Linear forward backward stochastic differential equation; Near optimal; Necessary condition; Spike variation; Sufficient condition

Indexed keywords

FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; NEAR-OPTIMAL CONTROL; OPTIMAL CONTROLS; OPTIMALITY; SUFFICIENT AND NECESSARY CONDITION; SUFFICIENT CONDITIONS; THEORETICAL RESULT;

DIFFERENTIAL EQUATIONS; MEASUREMENT THEORY; OPTIMIZATION; STOCHASTIC SYSTEMS;

STOCHASTIC CONTROL SYSTEMS;

EID: 74149089961     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2009.11.016     Document Type: Article

References (6)

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