On a class of forward-backward stochastic differential systems in infinite dimensions.
Guatteri, Giuseppina (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Optimal control of a stochastic heat equation with boundary-noise and boundary-control”
On a class of forward-backward stochastic differential systems in infinite dimensions.
On some recent aspects of stochastic control and their applications.
Pham, Huyên (2005)
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A singular control problem with an expected and a pathwise ergodic performance criterion.
Jack, Andrew, Zervos, Mihail (2006)
Journal of Applied Mathematics and Stochastic Analysis
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A general stochastic maximum principle for singular control problems.
Bahlali, Seid, Mezerdi, Brahim (2005)
Electronic Journal of Probability [electronic only]
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Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
Jianhui Huang, Jingtao Shi (2012)
ESAIM: Control, Optimisation and Calculus of Variations
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This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear...
Optimal singular stochastic problem on harvesting system.
Yang, Rui-cheng, Liu, Kun-hui (2004)
Applied Mathematics E-Notes [electronic only]
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