Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
From MaRDI portal
Publication:1643394
DOI10.1016/j.sysconle.2018.02.002zbMath1388.93108arXiv1609.04188OpenAlexW2964132470WikidataQ130078312 ScholiaQ130078312MaRDI QIDQ1643394
Publication date: 19 June 2018
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.04188
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
Related Items (4)
A dynamic programming approach to path-dependent constrained portfolios ⋮ Stochastic maximum principle for optimal control problem with a stopping time cost functional ⋮ Maximum principle for near-optimality of mean-field FBSDEs ⋮ Multi-time state mean-variance model in continuous time
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The maximum principle for stochastic differential systems with general cost functional
- Backward stochastic differential equations and applications to optimal control
- A General Stochastic Maximum Principle for Optimal Control Problems
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- An Introductory Approach to Duality in Optimal Stochastic Control
- Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
- Maximum principle for forward–backward SDEs with a general cost functional
- The deterministic maximum principle for differential systems with a general cost functional
This page was built for publication: Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
