Maximum principle for stochastic control of SDEs with measurable drifts (Q6167091): Difference between revisions

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scientific article; zbMATH DE number 7708655

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English	Maximum principle for stochastic control of SDEs with measurable drifts	scientific article; zbMATH DE number 7708655

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scholarly article

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Maximum principle for stochastic control of SDEs with measurable drifts (English)

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Olivier Menoukeu Pamen

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Journal of Optimization Theory and Applications

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publication date

7 July 2023

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full work available at URL

https://arxiv.org/abs/2101.06205

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zbMATH Keywords

stochastic maximum principle

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singular drifts

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Sobolev differentiable flow

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Ekeland's variational principle

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MaRDI profile type

MaRDI publication profile

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Optimality necessary conditions in singular stochastic control problems with nonsmooth data

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On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients

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The maximum principle for optimal control of diffusions with non-smooth coefficients

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The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

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Computing deltas without derivatives

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Merton Problem with Taxes: Characterization, Computation, and Approximation

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The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes

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Full “Bang” to Reduce Predicted Miss is Optimal

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Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Mean field games and systemic risk

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Optimal consumption and equilibrium prices with portfolio constraints and stochastic income

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Optimal consumption choices for a `large' investor

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Stochastic final-value control systems with a fuel constraint

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On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.

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Integration with respect to local time

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Local time-space stochastic calculus for Lévy processes

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Local Time-Space Calculus for Reversible Semimartingales

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Nonconvex minimization problems

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An Optimal Investment/Consumption Model with Borrowing

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On Stochastic Differential Equations with Locally Unbounded Drift

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Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

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PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY

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Utility maximization in incomplete markets

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Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls

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Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)

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Strong solutions of forward-backward stochastic differential equations with measurable coefficients

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Solvability of coupled FBSDEs with diagonally quadratic generators

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On weak solutions of forward-backward SDEs

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Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information

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A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs

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Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts

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Optimum consumption and portfolio rules in a continuous-time model

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A mean-field stochastic maximum principle via Malliavin calculus

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Necessary conditions for optimality for a diffusion with a non-smooth drift

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Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation

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Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations

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

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A General Stochastic Maximum Principle for Optimal Control Problems

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients

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Final value optimal stochastic control problem with bounded controller.

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Backward Stochastic Differential Equations

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Stochastic differential equations with Sobolev diffusion and singular drift and applications

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10957-023-02209-0

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Sitelinks

Mathematics(1 entry)

mardi Publication:6167091

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