Free Access
Volume 17, Number 4, October-December 2011
Page(s) 1174 - 1197
Published online 08 November 2010
  1. A. Bensoussan, Point de Nash dans le cas de fonctionnelles quadratiques et jeux différentiels à N personnes. SIAM J. Control 12 (1974) 460–499. [CrossRef] [MathSciNet] [Google Scholar]
  2. A. Bensoussan, Lectures on stochastic control, in Nonlinear Filtering and Stochastic Control, S.K. Mitter and A. Moro Eds., Lecture Notes in Mathematics 972, Springer-verlag, Berlin (1982). [Google Scholar]
  3. A. Bensoussan, Stochastic maximum principle for distributed parameter system. J. Franklin Inst. 315 (1983) 387–406. [CrossRef] [MathSciNet] [Google Scholar]
  4. A. Bensoussan, Stochastic Control of Partially Observable Systems. Cambridge University Press, Cambridge (1992). [Google Scholar]
  5. J.M. Bismut, An introductory approach to duality in optimal stochastic control. SIAM Rev. 20 (1978) 62–78. [CrossRef] [MathSciNet] [Google Scholar]
  6. S. Chen, X. Li and X. Zhou, Stochstic linear quadratic regulators with indefinite control weight cost. SIAM J. Control Optim. 36 (1998) 1685–1702. [Google Scholar]
  7. T. Eisele, Nonexistence and nonuniqueness of open-loop equilibria in linear-quadratic differential games. J. Math. Anal. Appl. 37 (1982) 443–468. [Google Scholar]
  8. A. Friedman, Differential Games. Wiley-Interscience, New York (1971). [Google Scholar]
  9. S. Hamadène, Nonzero sum linear-quadratic stochastic differential games and backwad-forward equations. Stoch. Anal. Appl. 17 (1999) 117–130. [CrossRef] [Google Scholar]
  10. U.G. Haussmann, General necessary conditions for optimal control of stochastic systems. Math. Program. Stud. 6 (1976) 34–48. [Google Scholar]
  11. U.G. Haussmann, A stochastic maximum principle for optimal control of diffusions, Pitman Research Notes in Mathematics 151. Longman (1986). [Google Scholar]
  12. S. Ji and X.Y. Zhou, A maximum principle for stochastic optimal control with terminal state constraints, and its applications. Commun. Inf. Syst. 6 (2006) 321–338. [MathSciNet] [Google Scholar]
  13. H.J. Kushner, Necessary conditions for continuous parameter stochastic optimization problems. SIAM J. Control Optim. 10 (1972) 550–565. [CrossRef] [Google Scholar]
  14. R.E. Mortensen, Stochastic optimal control with noisy observations. Int. J. Control 4 (1966) 455–464. [CrossRef] [Google Scholar]
  15. M. Nisio, Optimal control for stochastic partial differential equations and viscosity solutions of Bellman equations. Nagoya Math. J. 123 (1991) 13–37. [MathSciNet] [Google Scholar]
  16. D. Nualart and E. Pardoux, Stochastic calculus with anticipating integrands. Probab. Theory Relat. Fields 78 (1988) 535–581. [CrossRef] [Google Scholar]
  17. B. Øksendal, Optimal control of stochastic partial differential equations. Stoch. Anal. Appl. 23 (2005) 165–179. [CrossRef] [MathSciNet] [Google Scholar]
  18. E. Pardoux and S. Peng, Adapted solution of a backward stochastic differential equation. Syst. Control Lett. 14 (1990) 55–61. [Google Scholar]
  19. E. Pardoux and S. Peng, Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Probab. Theory Relat. Fields 98 (1994) 209–227. [Google Scholar]
  20. S. Peng, A general stochastic maximum principle for optimal control problem. SIAM J. Control Optim. 28 (1990) 966–979. [Google Scholar]
  21. S. Peng, Backward stochastic differential equations and application to optimal control. Appl. Math. Optim. 27 (1993) 125–144. [CrossRef] [MathSciNet] [Google Scholar]
  22. S. Peng and Y. Shi, A type of time-symmetric forward-backward stochastic differential equations. C. R. Acad. Sci. Paris, Sér. I 336 (2003) 773–778. [Google Scholar]
  23. S. Peng and Z. Wu, Fully coupled forward-backward stochastic differential equations and applications to optimal control. SIAM J. Control Optim. 37 (1999) 825–843. [CrossRef] [MathSciNet] [Google Scholar]
  24. L.S. Pontryagin, V.G. Boltyanskti, R.V. Gamkrelidze and E.F. Mischenko, The Mathematical Theory of Optimal Control Processes. Interscience, John Wiley, New York (1962). [Google Scholar]
  25. J. Shi and Z. Wu, The maximum principle for fully coupled forward-backward stochastic control system. Acta Automatica Sinica 32 (2006) 161–169. [Google Scholar]
  26. Z. Wu, Maximum principle for optimal control problem of fully coupled forward-backward stochastic systems. Systems Sci. Math. Sci. 11 (1998) 249–259. [MathSciNet] [Google Scholar]
  27. Z. Wu, Forward-backward stochastic differential equation linear quadratic stochastic optimal control and nonzero sum differential games. Journal of Systems Science and Complexity 18 (2005) 179–192. [MathSciNet] [Google Scholar]
  28. W. Xu, Stochastic maximum principle for optimal control problem of forward and backward system. J. Austral. Math. Soc. B 37 (1995) 172–185. [Google Scholar]
  29. J. Yong and X.Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations. Springer, New York (1999). [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.