Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions (Q5348481): Difference between revisions

Revision as of 07:27, 14 July 2024

scientific article; zbMATH DE number 6762083

Language	Label	Description	Also known as
English	Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions	scientific article; zbMATH DE number 6762083

Statements

instance of

scholarly article

0 references

title

Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions (English)

0 references

zbMATH Open document ID

0 references

0 references

0 references

0 references

SIAM Journal on Control and Optimization

0 references

publication date

18 August 2017

0 references

full work available at URL

https://arxiv.org/abs/1602.05661

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

forward-backward stochastic Volterra integral equations

0 references

first order necessary optimality conditions

0 references

linear stochastic integral equations with nonadapted solutions

0 references

set-value analysis

0 references

duality principle

0 references

MaRDI profile type

MaRDI publication profile

0 references

arXiv ID

1602.05661

0 references

cites work

Malliavin calculus and optimal control of stochastic Volterra equations

0 references

Optimal capital policy, the cost of capital, and myopic decision rules

0 references

Set-valued analysis

0 references

Q4742672

0 references

An Introductory Approach to Duality in Optimal Stochastic Control

0 references

Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels

0 references

Q4503250

0 references

First and second order necessary conditions for stochastic optimal control problems

0 references

Measure Theory

0 references

Pointwise Second-Order Necessary Optimality Conditions for the Mayer Problem with Control Constraints

0 references

Optimal dynamic advertising policies for hereditary processes

0 references

Q4146655

0 references

Stochastic differential inclusions and applications.

0 references

A maximum principle for stochastic control systems

0 references

Golden Eggs and Hyperbolic Discounting

0 references

Adapted solution of a backward stochastic nonlinear Volterra integral equation

0 references

Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure

0 references

Stochastic Volterra equations with anticipating coefficients

0 references

Volterra equations driven by semimartingales

0 references

A General Stochastic Maximum Principle for Optimal Control Problems

0 references

Backward stochastic differential equations and applications to optimal control

0 references

SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

0 references

Optimal control problems of forward-backward stochastic Volterra integral equations

0 references

Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises

0 references

Comparison theorems for some backward stochastic Volterra integral equations

0 references

NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS

0 references

A general maximum principle for optimal control of forward-backward stochastic systems

0 references

Well-posedness and regularity of backward stochastic Volterra integral equations

0 references

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

0 references

Heat equation with memory in anisotropic and non-homogeneous media

0 references

Q4255599

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5348481

@@ Property / cites work @@
+Malliavin calculus and optimal control of stochastic Volterra equations
+Normal rank
@@ Property / cites work @@
+Optimal capital policy, the cost of capital, and myopic decision rules
+Normal rank
@@ Property / cites work @@
+Set-valued analysis
@@ Property / cites work: Set-valued analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4742672
@@ Property / cites work: Q4742672 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
+Normal rank
@@ Property / cites work @@
+Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels
+Normal rank
@@ Property / cites work @@
+Q4503250
@@ Property / cites work: Q4503250 / rank @@
+Normal rank
@@ Property / cites work @@
+First and second order necessary conditions for stochastic optimal control problems
+Normal rank
@@ Property / cites work @@
+Measure Theory
@@ Property / cites work: Measure Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Pointwise Second-Order Necessary Optimality Conditions for the Mayer Problem with Control Constraints
+Normal rank
@@ Property / cites work @@
+Optimal dynamic advertising policies for hereditary processes
+Normal rank
@@ Property / cites work @@
+Q4146655
@@ Property / cites work: Q4146655 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential inclusions and applications.
+Normal rank
@@ Property / cites work @@
+A maximum principle for stochastic control systems
+Normal rank
@@ Property / cites work @@
+Golden Eggs and Hyperbolic Discounting
@@ Property / cites work: Golden Eggs and Hyperbolic Discounting / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic nonlinear Volterra integral equation
+Normal rank
@@ Property / cites work @@
+Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure
+Normal rank
@@ Property / cites work @@
+Stochastic Volterra equations with anticipating coefficients
+Normal rank
@@ Property / cites work @@
+Volterra equations driven by semimartingales
@@ Property / cites work: Volterra equations driven by semimartingales / rank @@
+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 @@
+SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+Optimal control problems of forward-backward stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
+Normal rank
@@ Property / cites work @@
+Comparison theorems for some backward stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
+Normal rank
@@ Property / cites work @@
+A general maximum principle for optimal control of forward-backward stochastic systems
+Normal rank
@@ Property / cites work @@
+Well-posedness and regularity of backward stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Heat equation with memory in anisotropic and non-homogeneous media
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank