Stochastic controls with terminal contingent conditions

DOI10.1006/jmaa.1999.6515zbMath0937.93053OpenAlexW2166893324MaRDI QIDQ1307260

V. Pereyra

Publication date: 23 May 2000

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmaa.1999.6515

zbMATH Keywords

maximum principleduality gapLagrangianbackward stochastic differential equationadjoint equationlinear-quadratic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and applications to optimal control
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• A General Stochastic Maximum Principle for Optimal Control Problems
• Regular Conditional Expectations of Correspondences
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• Sufficient conditions of optimality for stochastic systems with controllable diffusions
• Optimal Control of Partially Observable Diffusions
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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