A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (Q604807): Difference between revisions

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+Approximation and optimality necessary conditions in relaxed stochastic control problems
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+Q4357644
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+Bond Market Structure in the Presence of Marked Point Processes
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+The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
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+On the variational principle
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+A theory of bond portfolios
@@ Property / cites work: A theory of bond portfolios / rank @@
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+The variational principle and stochastic optimal control
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+Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations
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+Adapted solution of a backward stochastic differential equation
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+A General Stochastic Maximum Principle for Optimal Control Problems
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+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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+Q4255599
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+Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
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+.1007/S00186-010-0320-7
@@ Property / DOI: 10.1007/S00186-010-0320-7 / rank @@
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