Concepedia
Systems & Control Letters · 2009 · 33 citations · 10 references
Stochastic SystemStochastic Dynamical SystemSufficient ConditionsSystems EngineeringStochastic Control
10
Adapted solution of a backward stochastic differential equation
Étienne Pardoux, Shigē Péng · Systems & Control Letters · 1990 · 2.7K citations
Stochastic Differential Equation, Stochastic Differential Equations, Stochastic Dynamical System +1
Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.3K citations
Economics, Engineering, Asset Pricing +11
Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
Shigē Péng, Zhen Wu · SIAM Journal on Control and Optimization · 1999 · 508 citations
Optimal Control, Engineering, Stochastic Processes +10
Backward stochastic differential equations and applications to optimal control
Shigē Péng · Applied Mathematics & Optimization · 1993 · 411 citations
Stochastic Differential Equation, Stochastic Control, Systems Engineering
Stochastic maximum principle for optimal control problem of forward and backward system
Wensheng Xu · The Journal of the Australian Mathematical Society Series B Applied Mathematics · 1995 · 120 citations · Full text
Stochastic Hybrid System, Backward System, Optimal Control Problem +8