Classical solutions of linear regulator for degenerate diffusions.
Baten, Md.Azizul (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Baten, Md.Azizul (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Bahlali, Seïd, Mezerdi, Brahim, Djehiche, Boualem (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Mokhtar Hafayed, Petr Veverka, Syed Abbas (2014)
Applications of Mathematics
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We establish necessary and sufficient conditions of near-optimality for nonlinear systems governed by forward-backward stochastic differential equations with controlled jump processes (FBSDEJs in short). The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle and continuity in some sense of the state and adjoint processes with respect to the control variable. We prove that under an additional hypothesis, the near-maximum...
Park, Jong Yeoul, Kang, Yong Han (2001)
International Journal of Mathematics and Mathematical Sciences
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Zhao, Lin (2010)
International Journal of Stochastic Analysis
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Bahlali, Seid, Mezerdi, Brahim (2005)
Electronic Journal of Probability [electronic only]
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Wang, Lianwen (2007)
Boundary Value Problems [electronic only]
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Pantelous, Athanasios A., Frangos, Nicholas E., Zimbidis, Alexandros A. (2009)
Journal of Probability and Statistics
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Pierre-Louis Lions, Jean-Michel Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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