IEEE - Institute of Electrical and Electronics Engineers, Inc. - Connection between the Adjoint Variables and Value Function for Controlled Fully Coupled FBSDEs: The Local Case

2018 15th International Conference on Control, Automation, Robotics and Vision (ICARCV)

Author(s): Weijun Meng ; Jingtao Shi
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 November 2018
Conference Location: Singapore, Singapore, Singapore
Conference Date: 18 November 2018
Page(s): 1,263 - 1,270
ISBN (Electronic): 978-1-5386-9582-1
ISBN (USB): 978-1-5386-9581-4
DOI: 10.1109/ICARCV.2018.8581284
Regular:

This paper is concerned with the connection between the local maximum principle and the dynamic programming principle for controlled fully coupled forward-backward stochastic differential... View More

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