Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps (Q2096949): Difference between revisions

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English	Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps	scientific article

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scholarly article

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title

Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps (English)

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Applied Mathematics and Optimization

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publication date

11 November 2022

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full work available at URL

https://arxiv.org/abs/2011.04211

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zbMATH Keywords

stochastic control

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dynamic programming

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stochastic Hamilton-Jacobi-Bellman (HJB) equation

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stochastic partial integral differential equation

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MaRDI profile type

MaRDI publication profile

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cites work

Backward stochastic differential equations and integral-partial differential equations

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Q4357502

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Q3997913

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Théorie probabiliste du contrôle des diffusions

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Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process

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Ambiguity, Risk, and Asset Returns in Continuous Time

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Stochastic Equations in Infinite Dimensions

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\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space

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A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)

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Stochastic Differential Utility

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Backward Stochastic Differential Equations in Finance

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Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

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On stochastics equations with respect to semimartingales ii. itô formula in banach spaces

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Adapted solution of a backward semilinear stochastic evolution equation

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Q3959169

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Q3755824

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Q5700325

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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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Adapted solution of a degenerate backward SPDE, with applications

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On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces

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Optimal Controls for Stochastic Partial Differential Equations

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Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields

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Adapted solution of a backward stochastic differential equation

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Stochastic Hamilton–Jacobi–Bellman Equations

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Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

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On solutions of backward stochastic differential equations with jumps and applications

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Dynamic programming for stochastic target problems and geometric flows

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Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)

0 references

The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

0 references

Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients

0 references

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients

0 references

Backward Stochastic Differential Equations

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On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations

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Q4255599

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Identifiers

zbMATH Open document ID

1501.49018

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Mathematics Subject Classification ID

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10.1007/S00245-022-09914-8

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Sitelinks

Mathematics(1 entry)

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+Backward stochastic differential equations and integral-partial differential equations
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+Théorie probabiliste du contrôle des diffusions
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+Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
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+Ambiguity, Risk, and Asset Returns in Continuous Time
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@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
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@@ Property / cites work @@
+A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+On stochastics equations with respect to semimartingales ii. itô formula in banach spaces
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward semilinear stochastic evolution equation
+Normal rank
@@ Property / cites work @@
+Q3959169
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+Normal rank
@@ Property / cites work @@
+Q3755824
@@ Property / cites work: Q3755824 / rank @@
+Normal rank
@@ Property / cites work @@
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@@ Property / cites work: Q5700325 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Adapted solution of a degenerate backward SPDE, with applications
+Normal rank
@@ Property / cites work @@
+On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces
+Normal rank
@@ Property / cites work @@
+Optimal Controls for Stochastic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+On solutions of backward stochastic differential equations with jumps and applications
+Normal rank
@@ Property / cites work @@
+Dynamic programming for stochastic target problems and geometric flows
+Normal rank
@@ Property / cites work @@
+Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Dynamic Programming for General  Linear Quadratic Optimal Stochastic Control with Random Coefficients
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations
@@ Property / cites work: Backward Stochastic Differential Equations / rank @@
+Normal rank
@@ Property / cites work @@
+On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4255599
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