Extends domination-monotonicity conditions to nonlinear extended MF-FBSDEs and derives closed-form optimal controls for linear-convex and linear-quadratic stochastic control problems with time-dependent random input constraints.
Convex Optimization in Normed Spaces: Theory, Methods and Ex- amples.Cham, Switzerland: Springer
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Extended MF-FBSDEs with nonlinear domination-monotonicity conditions and stochastic optimal controls of Linear System with quadruple controls
Extends domination-monotonicity conditions to nonlinear extended MF-FBSDEs and derives closed-form optimal controls for linear-convex and linear-quadratic stochastic control problems with time-dependent random input constraints.