An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
Abstract
In this paper, we are concerned with an optimal control problem where the system is driven by a backward doubly stochastic differential equation with risk-sensitive performance functional. We generalized the result of Chala [A. Chala, Pontryagin’s risk-sensitive stochastic maximum principle for backward stochastic differential equations with application, Bull. Braz. Math. Soc. (N. S.) 48 2017, 3, 399–411] to a backward doubly stochastic...
Paper Details
Title
An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
Published Date
Mar 1, 2020
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