scientific article; zbMATH DE number 1325009

Publication date: 19 August 1999

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

dynamic programming Hamilton-Jacobi equation stochastic optimal control stochastic LQ problem stochastic maximum principle sufficient conditions viscosity solutions stochastic Riccati equation mean-variance portfolio selection linear quadratic optimal control Feynman-Kac formulae option pricing problems adapted solutions multiobjective control control-dependent diffusion Forward-Backward SDEs four-step scheme nondefinite cost optimal control of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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