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

[21] Mean-Field, Infinite Horizon, Optimal Control of Nonlinear Stochastic Delay System Governed by Teugels Martingales Associated with Levy Processes
Muthukumar, P.
Deepa, R.
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2019, 7 (02) : 163 - 180
[22] SOLUTION OF THE BELLMAN EQUATION ASSOCIATED WITH AN INFINITE DIMENSIONAL STOCHASTIC-CONTROL PROBLEM AND SYNTHESIS OF OPTIMAL-CONTROL
BARBU, V
DAPRATO, G
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1983, 21 (04) : 531 - 550
[23] Optimal Control for Neutral Stochastic Integrodifferential Equations with Infinite Delay Driven by Poisson Jumps and Rosenblatt Process
Chalishajar, Dimplekumar
Kasinathan, Ramkumar
Kasinathan, Ravikumar
FRACTAL AND FRACTIONAL, 2023, 7 (11)
[24] Optimal control for neutral stochastic systems with infinite time delay and deviated argument driven by Rosenblatt process
Chalishajar, Dimplekumar
Kasinathan, Ravikumar
Kasinathan, Ramkumar
Diop, Mamadou Abdoul
RESULTS IN CONTROL AND OPTIMIZATION, 2022, 9
[25] Scaling and Saturation in Infinite-Dimensional Control Problems with Applications to Stochastic Partial Differential Equations
Glatt-Holtz N.E.
Herzog D.P.
Mattingly J.C.
Annals of PDE, 2018, 4 (2)
[26] Mean-Field, Infinite Horizon, Optimal Control of Nonlinear Stochastic Delay System Governed by Teugels Martingales Associated with Lévy Processes
P. Muthukumar
R. Deepa
Communications in Mathematics and Statistics, 2019, 7 : 163 - 180
[27] Stochastic differential equations in infinite dimensional Hilbert space and its optimal control problem with Levy processes
Wang, Meijiao
Shi, Qiuhong
Tang, Maoning
Meng, Qingxin
AIMS MATHEMATICS, 2022, 7 (02): : 2427 - 2455
[28] OPTIMAL FEEDBACK-CONTROL OF INFINITE DIMENSIONAL LINEAR-SYSTEMS WITH APPLICATIONS TO HEREDITARY PROBLEMS
MILMAN, M
FOSTER, JH
SCHUMITZKY, A
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 1986, 119 (1-2) : 259 - 281
[29] On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
Hafayed, Mokhtar
Abba, Abdelmadjid
Abbas, Syed
INTERNATIONAL JOURNAL OF CONTROL, 2016, 89 (02) : 397 - 410
[30] Infinite-dimensional stochastic differential equations related to random matrices (vol 153, pg 471, 2012)
Osada, Hirofumi
PROBABILITY THEORY AND RELATED FIELDS, 2022, 183 (1-2) : 677 - 678

← 1 2 3 4 5 →