Infinite Horizon Optimal Control Problem for Stochastic Evolution Equations in Hilbert Spaces-Reference-Cited by-同舟云学术

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Infinite Horizon Optimal Control Problem for Stochastic Evolution Equations in Hilbert Spaces

Published:2015-11-09 Issue:3 Volume:22 Page:531-554
ISSN:1079-2724
Container-title:Journal of Dynamical and Control Systems
language:en
Short-container-title:J Dyn Control Syst

Author:

Zhou Jianjun

Funder

The National Natural Science Foundation of China

Shaanxi Natural Science Foundation

The Fundamental Research Funds for the Central Universities

Publisher

Springer Science and Business Media LLC

Subject

Control and Optimization,Numerical Analysis,Algebra and Number Theory,Control and Systems Engineering

Link

http://link.springer.com/content/pdf/10.1007/s10883-015-9307-2.pdf

Reference25 articles.

1. Pardoux E, Peng S. Adaped solution of a backward stochastic differential equation. Syst Control Lett 1990;14:55–61.

2. El Karoui N, Mazliak L (eds.) 1997. Backward Stochastic Differential Equations, Pitman Research Notes in Mathematics Series 364, Longman.

3. Pardoux E. BSDEs, weak convergence and homogeneization of semilinear PDEs. In: Clarke FH and Stern RJ, editors. The Netherlands: Kluwer Dordrecht; 1999. p. 503–549.

4. Peng S. A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Stochastics Stochastics Rep 1992;38:119–134.

5. El Karoui N, Peng S, Quenez MC. Backward stochastic differential equations in finance. Math Financ 1997;7(1):1–71.

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