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Arrow sufficient conditions for optimality of fully-coupled forward-backward stochastic differential equations with applications to finance

Release time:2019-04-14|Hits:

Affiliation of Author(s):控制科学与工程学院

Journal:Journal of Optimization Theory and Applications

First Author:wangguangchen

Indexed by:Unit Twenty Basic Research

Document Code:lw-159428

Volume:165

Issue:2

Page Number:639

Translation or Not:no

Date of Publication:2015-05-01

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A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information
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Maximum principles for partially observed mean-field stochastic systems with application to financial engineering

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