Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions (Q5408037): Difference between revisions

Latest revision as of 13:53, 7 July 2024

scientific article; zbMATH DE number 6281642

Language	Label	Description	Also known as
English	Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions	scientific article; zbMATH DE number 6281642

Statements

instance of

scholarly article

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title

Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions (English)

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published in

Optimal Control Applications and Methods

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publication date

8 April 2014

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zbMATH Keywords

stochastic optimal control

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recursive utility

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backward stochastic differential equation

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jump diffusions

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maximum principle

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dynamic programming principle

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author

Jing-Tao Shi

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/oca.2055

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cites work

Adapted solution of a backward stochastic differential equation

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Stochastic Differential Utility

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Backward Stochastic Differential Equations in Finance

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A dynamic maximum principle for the optimization of recursive utilities under constraints.

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Asset pricing with a forward--backward stochastic differential utility

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A maximum principle for stochastic optimal control with terminal state constraints, and its applications

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The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

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Backward stochastic differential equations and applications to optimal control

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Stochastic maximum principle for optimal control problem of forward and backward system

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A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation

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An Introductory Approach to Duality in Optimal Stochastic Control

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The connection between the maximum principle and dynamic programming in stochastic control

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Option pricing when underlying stock returns are discontinuous

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Optimal Control of Jump Processes

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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

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Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions

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Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

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Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

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Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps

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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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Identifiers

zbMATH Open document ID

1284.93264

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DOI

10.1002/oca.2055

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5408037

@@ Property / full work available at URL @@
+https://doi.org/10.1002/oca.2055
@@ Property / full work available at URL: https://doi.org/10.1002/oca.2055 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1570832990
@@ Property / OpenAlex ID: W1570832990 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+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 @@
+A dynamic maximum principle for the optimization of recursive utilities under constraints.
+Normal rank
@@ Property / cites work @@
+Asset pricing with a forward--backward stochastic differential utility
+Normal rank
@@ Property / cites work @@
+A maximum principle for stochastic optimal control with terminal state constraints, and its applications
+Normal rank
@@ Property / cites work @@
+The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for optimal control problem of forward and backward system
+Normal rank
@@ Property / cites work @@
+A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
+Normal rank
@@ Property / cites work @@
+Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
+Normal rank
@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
+Normal rank
@@ Property / cites work @@
+The connection between the maximum principle and dynamic programming in stochastic control
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Optimal Control of Jump Processes
@@ Property / cites work: Optimal Control of Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+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 @@
+Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
+Normal rank
@@ Property / cites work @@
+Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps
+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