Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems (Q6078631): Difference between revisions

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scientific article; zbMATH DE number 7754121

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English	Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems	scientific article; zbMATH DE number 7754121

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instance of

scholarly article

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title

Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems (English)

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Optimal Control Applications and Methods

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publication date

25 October 2023

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full work available at URL

https://arxiv.org/abs/1907.04209

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zbMATH Keywords

backward stochastic difference equations

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forward-backward stochastic difference equations

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maximum principle

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monotone condition

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stochastic optimal control

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MaRDI profile type

MaRDI publication profile

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cites work

Nonlinear filtering and stochastic control. Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981

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An Introductory Approach to Duality in Optimal Stochastic Control

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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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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Stochastic controls with terminal contingent conditions

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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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Linear-Quadratic Control of Backward Stochastic Differential Equations

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Partially observed optimal controls of forward-backward doubly stochastic systems

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Q4266941

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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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Maximum principle for forward-backward doubly stochastic control systems and applications

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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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Dynamic Conic Finance via Backward Stochastic Difference Equations

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

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Discrete-Time BSDEs with Random Terminal Horizon

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

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Solutions of Backward Stochastic Differential Equations on Markov Chains

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Identifiers

arXiv ID

1907.04209

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6078631

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