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math.OC2013★ 2 cited
Maximum principle for optimal control of forward-backward doubly stochastic differential equations with jumps
AbdulRahman Al-Hussein, Boulakhras Gherbal
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward…
math.OC2012
Necessary conditions for optimality for stochastic evolution equations
AbdulRahman Al-Hussein
This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary…