Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems (Q5095532): Difference between revisions

Latest revision as of 20:26, 29 July 2024

scientific article; zbMATH DE number 7569684

Language	Label	Description	Also known as
English	Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems	scientific article; zbMATH DE number 7569684

Statements

instance of

scholarly article

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title

Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems (English)

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International Journal of Control

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publication date

9 August 2022

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full work available at URL

https://arxiv.org/abs/1812.11283

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zbMATH Keywords

backward stochastic difference equations

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forward-backward stochastic difference equations

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monotone condition

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stochastic optimal control

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maximum principle

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MaRDI profile type

MaRDI publication profile

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cites work

Ergodic backward stochastic difference equations

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Dynamic Conic Finance via Backward Stochastic Difference Equations

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An Introductory Approach to Duality in Optimal Stochastic Control

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On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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A general theory of finite state backward stochastic difference equations

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Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations

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Stochastic controls with terminal contingent conditions

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Q4357500

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

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Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems

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Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations

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A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise

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The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations

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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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Optimal consumption and portfolio selection with stochastic differential utility

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Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach

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

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

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Identifiers

zbMATH Open document ID

1497.93241

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DOI

10.1080/00207179.2021.1889033

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5095532

@@ Property / cites work @@
+Ergodic backward stochastic difference equations
@@ Property / cites work: Ergodic backward stochastic difference equations / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Conic Finance via Backward Stochastic Difference Equations
+Normal rank
@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
+Normal rank
@@ Property / cites work @@
+On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
+Normal rank
@@ Property / cites work @@
+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
+Normal rank
@@ Property / cites work @@
+A general theory of finite state backward stochastic difference equations
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
+Normal rank
@@ Property / cites work @@
+Stochastic controls with terminal contingent conditions
+Normal rank
@@ Property / cites work @@
+Q4357500
@@ Property / cites work: Q4357500 / rank @@
+Normal rank
@@ Property / cites work @@
+A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
+Normal rank
@@ Property / cites work @@
+Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
+Normal rank
@@ Property / cites work @@
+The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
+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 @@
+Optimal consumption and portfolio selection with stochastic differential utility
+Normal rank
@@ Property / cites work @@
+Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for optimal control problem of forward and backward system
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank