Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28670
Title: Near-optimal control problems for linear forward-backward stochastic systems
Authors: Huang, J 
Li, X 
Wang, G
Issue Date: 2010
Source: Automatica, 2010, v. 46, no. 2, p. 397-404
Abstract: Herein, we study the near-optimality of linear forward-backward stochastic control systems. As the theoretical results, some sufficient and necessary conditions of the near-optimality are established in the form of Pontryagin stochastic maximum principle. As an illustration and practical application, one ε-optimal control example is figured out and solved using our theoretical results.
Keywords: Ekeland's principle
Linear forward-backward stochastic differential equation
Near-optimal
Necessary condition
Spike variation
Sufficient condition
Publisher: Pergamon Press
Journal: Automatica 
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2009.11.016
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