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math.OC2019
Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems
Shailin Ji, Haodong Liu
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBSΔSs) where the uncertainty is modeled by…
math.OC2018
Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
Shaolin Ji, Haodong Liu
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBSΔSs). Two types of FBSΔSs are investigat…