Monographie imprimée

Stochastic maximum principle for system governed by forward backward stochastic differential equation with risk sensitive control problem and application

Rania Khallout, Auteur ; Adel Chala, Directeur de thèse | Biskra [Algérie] : Faculté des Sciences Exactes et des Sciences de la Nature et de la Vie, Université Mohamed Khider | 2019

Throughout this thesis, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the systems studied are given by a backward stochastic differential equation, fully coupled forward-backward stocha[...]

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