Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions (Q5348481): Difference between revisions

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scientific article; zbMATH DE number 6762083

Language	Label	Description	Also known as
English	Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions	scientific article; zbMATH DE number 6762083

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instance of

scholarly article

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title

Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions (English)

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SIAM Journal on Control and Optimization

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publication date

18 August 2017

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full work available at URL

https://arxiv.org/abs/1602.05661

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zbMATH Keywords

forward-backward stochastic Volterra integral equations

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first order necessary optimality conditions

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linear stochastic integral equations with nonadapted solutions

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set-value analysis

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duality principle

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MaRDI profile type

MaRDI publication profile

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cites work

Malliavin calculus and optimal control of stochastic Volterra equations

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Optimal capital policy, the cost of capital, and myopic decision rules

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Set-valued analysis

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Q4742672

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An Introductory Approach to Duality in Optimal Stochastic Control

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Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels

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Q4503250

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First and second order necessary conditions for stochastic optimal control problems

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Measure Theory

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Pointwise Second-Order Necessary Optimality Conditions for the Mayer Problem with Control Constraints

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Optimal dynamic advertising policies for hereditary processes

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Q4146655

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Stochastic differential inclusions and applications.

0 references

A maximum principle for stochastic control systems

0 references

Golden Eggs and Hyperbolic Discounting

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Adapted solution of a backward stochastic nonlinear Volterra integral equation

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Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure

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Stochastic Volterra equations with anticipating coefficients

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Volterra equations driven by semimartingales

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A General Stochastic Maximum Principle for Optimal Control Problems

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Backward stochastic differential equations and applications to optimal control

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SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

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Optimal control problems of forward-backward stochastic Volterra integral equations

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Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises

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Comparison theorems for some backward stochastic Volterra integral equations

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NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS

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A general maximum principle for optimal control of forward-backward stochastic systems

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Well-posedness and regularity of backward stochastic Volterra integral equations

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Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

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Heat equation with memory in anisotropic and non-homogeneous media

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Q4255599

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Identifiers

zbMATH Open document ID

1368.93791

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DOI

10.1137/16M1059801

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5348481

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-Tian Xiao Wang
@@ Property / author: Tian Xiao Wang / rank @@
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+Tian Xiao Wang
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+Malliavin calculus and optimal control of stochastic Volterra equations
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@@ Property / cites work @@
+Optimal capital policy, the cost of capital, and myopic decision rules
+Normal rank
@@ Property / cites work @@
+Set-valued analysis
@@ Property / cites work: Set-valued analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4742672
@@ Property / cites work: Q4742672 / rank @@
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@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
+Normal rank
@@ Property / cites work @@
+Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels
+Normal rank
@@ Property / cites work @@
+Q4503250
@@ Property / cites work: Q4503250 / rank @@
+Normal rank
@@ Property / cites work @@
+First and second order necessary conditions for stochastic optimal control problems
+Normal rank
@@ Property / cites work @@
+Measure Theory
@@ Property / cites work: Measure Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Pointwise Second-Order Necessary Optimality Conditions for the Mayer Problem with Control Constraints
+Normal rank
@@ Property / cites work @@
+Optimal dynamic advertising policies for hereditary processes
+Normal rank
@@ Property / cites work @@
+Q4146655
@@ Property / cites work: Q4146655 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential inclusions and applications.
+Normal rank
@@ Property / cites work @@
+A maximum principle for stochastic control systems
+Normal rank
@@ Property / cites work @@
+Golden Eggs and Hyperbolic Discounting
@@ Property / cites work: Golden Eggs and Hyperbolic Discounting / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic nonlinear Volterra integral equation
+Normal rank
@@ Property / cites work @@
+Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure
+Normal rank
@@ Property / cites work @@
+Stochastic Volterra equations with anticipating coefficients
+Normal rank
@@ Property / cites work @@
+Volterra equations driven by semimartingales
@@ Property / cites work: Volterra equations driven by semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+Optimal control problems of forward-backward stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
+Normal rank
@@ Property / cites work @@
+Comparison theorems for some backward stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
+Normal rank
@@ Property / cites work @@
+A general maximum principle for optimal control of forward-backward stochastic systems
+Normal rank
@@ Property / cites work @@
+Well-posedness and regularity of backward stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Heat equation with memory in anisotropic and non-homogeneous media
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2964267057
@@ Property / OpenAlex ID: W2964267057 / rank @@
+Normal rank