Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (Q535333): Difference between revisions

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+jump diffusions
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+stochastic optimal control
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+maximum principle
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+verification theorem
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+viscosity solution
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+Viscosity solutions of nonlinear integro-differential equations
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+A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
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+Corrigendum for comparison theorems in: ``A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations''
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+Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
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+Backward stochastic differential equations and integral-partial differential equations
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+Singular perturbation results for a class of stochastic control problems
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+An Introductory Approach to Duality in Optimal Stochastic Control
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+Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
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+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
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+A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
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+On the Adjoint Process for Optimal Control of Diffusion Processes
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+Q3992729
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@@ Property / cites work @@
+A ``maximum principle for semicontinuous functions'' applicable to integro-partial differential equations
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+Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
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@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
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+Q4386544
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+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
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+Theory of stochastic differential equations with jumps and applications.
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+Optimal Control with State-Space Constraint. II
@@ Property / cites work: Optimal Control with State-Space Constraint. II / rank @@
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+Q3977319
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+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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+Q4255599
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+The connection between the maximum principle and dynamic programming in stochastic control
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@@ Property / cites work @@
+Stochastic Verification Theorems within the Framework of Viscosity Solutions
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+Publication:535333