The optimal control of diffusions

DOI10.1007/BF01447329zbMath0718.49013MaRDI QIDQ2639325

Robert J. Elliott

Publication date: 1990

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

martingale representationadjoint process

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (16)

Markovian forward-backward stochastic differential equations and stochastic flows ⋮ A stochastic maximum principle in mean-field optimal control problems for jump diffusions ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ Stochastic maximum principle in the mean-field controls ⋮ A general optimality conditions for stochastic control problems of jump diffusions ⋮ Stochastic Flows and Jump-Diffusions ⋮ Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations ⋮ A general stochastic maximum principle for SDEs of mean-field type ⋮ Lagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionals ⋮ New approach to stochastic optimal control ⋮ On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem ⋮ Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice ⋮ Optimality conditions of controlled backward doubly stochastic differential equations ⋮ Backward stochastic differential equations with constraints on the gains-process ⋮ Lagrange approach to the optimal control of diffusions ⋮ The stochastic maximum principle for relaxed control problem with regime-switching

Cites Work

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• A short proof of a martingale representation result
• Integration by parts, homogeneous chaos expansions and smooth densities
• The variational principle for optimal control of diffusions with partial information
• On the Minimum Principle for Controlled Diffusions on Manifolds
• On the Adjoint Process for Optimal Control of Diffusion Processes
• Théorie probabiliste du contrôle des diffusions
• An Introductory Approach to Duality in Optimal Stochastic Control
• The Partially Observed Stochastic Minimum Principle
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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