标题:Two Different Approaches for Optimal Control Problem of Fully Coupled FBSDEs
作者:Jingtao Shi;
作者机构:[Jingtao Shi]School of Mathematics,Shandong University
会议名称:第37届中国控制会议
来源:第37届中国控制会议论文集(A)
出版年:2018
关键词:Stochastic optimal control;fully coupled FBSDE;dynamic programming principle;maximum principle
摘要:This paper is concerned with the optimal control problem,where the recursive cost functional is defined as one of the solution to a controlled fully coupled forward-backward stochastic differential equation(FBSDE),and the control domain is convex.Two different approaches–dynamic programming principl...
资源类型:会议论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=KZLL201807001257&DbName;=CPFD2018
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