A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators (Q5081645): Difference between revisions

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scientific article; zbMATH DE number 7543540

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English	A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators	scientific article; zbMATH DE number 7543540

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instance of

scholarly article

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title

A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators (English)

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SIAM Journal on Control and Optimization

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publication date

17 June 2022

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full work available at URL

https://arxiv.org/abs/2010.10680

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zbMATH Keywords

BMO-martingale

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forward-backward stochastic control systems

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linear BSDEs with unbounded coefficients

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maximum principle

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quadratic BSDEs

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MaRDI profile type

MaRDI publication profile

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cites work

Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results

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Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

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Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

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BSDE with quadratic growth and unbounded terminal value

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Quadratic BSDEs with convex generators and unbounded terminal conditions

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Exponential Hedging and Entropic Penalties

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Harmonic analysis of stochastic equations and backward stochastic differential equations

0 references

Pricing Via Utility Maximization and Entropy

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On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth

0 references

Stochastic maximum principle for optimal control of SPDEs

0 references

Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales

0 references

Q4274285

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Stochastic global maximum principle for optimization with recursive utilities

0 references

A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

0 references

Utility maximization in incomplete markets

0 references

Time-Inconsistent Stochastic Linear--Quadratic Control

0 references

Solution of forward-backward stochastic differential equations

0 references

Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

0 references

Continuous exponential martingales and BMO

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

A new risk-sensitive maximum principle

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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On well-posedness of forward-backward SDEs -- a unified approach

0 references

Weak solutions for forward-backward SDEs-a martingale problem approach

0 references

Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

0 references

A General Stochastic Maximum Principle for Optimal Control Problems

0 references

Backward stochastic differential equations and applications to optimal control

0 references

Q2712232

0 references

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

0 references

General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

0 references

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

0 references

Solvability of backward stochastic differential equations with quadratic growth

0 references

A risk-sensitive maximum principle

0 references

A class of globally solvable Markovian quadratic BSDE systems and applications

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Q4255599

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Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1492.93200

0 references

DOI

10.1137/20M137238X

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5081645

@@ Property / cites work @@
+Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
+Normal rank
@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Harmonic analysis of stochastic equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for optimal control of SPDEs
+Normal rank
@@ Property / cites work @@
+Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
+Normal rank
@@ Property / cites work @@
+Q4274285
@@ Property / cites work: Q4274285 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic global maximum principle for optimization with recursive utilities
+Normal rank
@@ Property / cites work @@
+A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+A new risk-sensitive maximum principle
@@ Property / cites work: A new risk-sensitive maximum principle / rank @@
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+On well-posedness of forward-backward SDEs -- a unified approach
+Normal rank
@@ Property / cites work @@
+Weak solutions for forward-backward SDEs-a martingale problem approach
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
+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 @@
+Q2712232
@@ Property / cites work: Q2712232 / rank @@
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Solvability of backward stochastic differential equations with quadratic growth
+Normal rank
@@ Property / cites work @@
+A risk-sensitive maximum principle
@@ Property / cites work: A risk-sensitive maximum principle / rank @@
+Normal rank
@@ Property / cites work @@
+A class of globally solvable Markovian quadratic BSDE systems and applications
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations
@@ Property / cites work: Backward Stochastic Differential Equations / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3094625557
@@ Property / OpenAlex ID: W3094625557 / rank @@
+Normal rank