A risk‐sensitive stochastic maximum principle for fully coupled forward‐backward stochastic differential equations with applications
Sign Up to like & getrecommendations! Published in 2019 at "Asian Journal of Control"
DOI: 10.1002/asjc.2020
Abstract: In this paper, we are interested in the problem of optimal control where the system is given by a fully coupled forward‐backward stochastic differential equation with a risk‐sensitive performance functional. As a preliminary step, we… read more here.
Keywords: backward stochastic; forward backward; risk sensitive; fully coupled ... See more keywords
Existence of an optimal control for a system driven by a degenerate coupled forward–backward stochastic differential equations
Sign Up to like & getrecommendations! Published in 2017 at "Comptes Rendus Mathematique"
DOI: 10.1016/j.crma.2016.11.012
Abstract: Abstract We establish the existence of an optimal control for a system driven by a coupled forward–backward stochastic differential equation (FBDSE) whose diffusion coefficient may degenerate (i.e. are not necessary uniformly elliptic). The cost functional… read more here.
Keywords: system driven; control; existence optimal; coupled forward ... See more keywords