Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations.
Marco FuhrmanGianmario TessitorePublished in: SIAM J. Control. Optim. (2004)
Keyphrases
- stochastic differential equations
- forward backward
- brownian motion
- maximum a posteriori estimation
- optimal control
- optimal solution
- fractional brownian motion
- closed form solutions
- additive gaussian noise
- stochastic process
- differential equations
- hidden markov models
- sufficient conditions
- closed form
- multiscale
- denoising
- probabilistic model