BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control (vol 19, pg 45, 2011)

被引：2

作者：

Al-Hussein, AbdulRahman ^{[1
]}

机构：

[1] Qassim Univ, Coll Sci, Dept Math, POB 6644, Buraydah 51452, Saudi Arabia

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2011年 / 19卷 / 03期

关键词：

Backward stochastic differential equation; martingale; maximum principle;

D O I：

10.1515/ROSE.2011.016

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This note is provided to correct the mistakes in our previous work 'BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control', Random Oper. Stoch. Equ. 19 (2011), 45-61. The reader is advised to consider changes here when reading that paper.

引用

页码：295 / 297

页数：3

共 50 条

[1] BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
Al-Hussein, AbdulRahman
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2011, 19 (01) : 45 - 61
[2] Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications
Al-Hussein, AbdulRahman
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2009, 81 (06) : 601 - 626
[3] Backward Stochastic Differential Equations (BSDEs) Using Infinite-Dimensional Martingales with Subdifferential Operator
Zhang, Pei
Ibrahim, Adriana Irawati Nur
Mohamed, Nur Anisah
AXIOMS, 2022, 11 (10)
[4] Singular Limit of BSDEs and Optimal Control of Two Scale Stochastic Systems in Infinite Dimensional Spaces
Giuseppina Guatteri
Gianmario Tessitore
Applied Mathematics & Optimization, 2021, 83 : 1025 - 1051
[5] Singular Limit of BSDEs and Optimal Control of Two Scale Stochastic Systems in Infinite Dimensional Spaces
Guatteri, Giuseppina
Tessitore, Gianmario
APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 83 (02): : 1025 - 1051
[6] REFLECTED BSDES, OPTIMAL CONTROL AND STOPPING FOR INFINITE-DIMENSIONAL SYSTEMS
Fuhrman, Marco
Masiero, Federica
Tessitore, Gianmario
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2017, 23 (04) : 1419 - 1445
[7] Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Levy processes
Muthukumar, P.
Deepa, R.
STOCHASTICS AND DYNAMICS, 2017, 17 (03)
[8] SEMIMARTINGALE MODELS OF STOCHASTIC OPTIMAL-CONTROL, WITH APPLICATIONS TO DOUBLE MARTINGALES
BOEL, R
KOHLMANN, M
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1980, 18 (05) : 511 - 533
[9] Infinite horizon optimal control for mean-field stochastic delay systems driven by Teugels martingales under partial information
Yang, Bixuan
Wu, Jinbiao
Optimal Control Applications and Methods, 2020, 41 (05) : 1371 - 1397
[10] Infinite horizon optimal control for mean-field stochastic delay systems driven by Teugels martingales under partial information
Yang, Bixuan
Wu, Jinbiao
OPTIMAL CONTROL APPLICATIONS & METHODS, 2020, 41 (05): : 1371 - 1397

← 1 2 3 4 5 →