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

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Pricing Via Utility Maximization and Entropy

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

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Stochastic maximum principle for optimal control of SPDEs

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

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Q4274285

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Stochastic global maximum principle for optimization with recursive utilities

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

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Utility maximization in incomplete markets

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Time-Inconsistent Stochastic Linear--Quadratic Control

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Solution of forward-backward stochastic differential equations

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Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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Continuous exponential martingales and BMO

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

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A new risk-sensitive maximum principle

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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

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

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

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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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Q2712232

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

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

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Solvability of backward stochastic differential equations with quadratic growth

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A risk-sensitive maximum principle

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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

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DOI

10.1137/20M137238X

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:5081645

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