A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control

DOI10.1080/17442509208833790MaRDI QIDQ4022726zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis, Gabriel Burstein

Publication date 17 January 1993

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509208833790

zbMATH Keywords

anticipative controlsstochastic flows

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(21)

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• Pathwise stochastic control with applications to robust filtering
• Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
• A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA
• On deterministic approach to solution of stochastic optimal control problem with controlled diffusion
• A simple stochastic control problem with anticipation
• scientific article; zbMATH DE number 503103 (Why is no real title available?)
• First order BSPDEs in higher dimension for optimal control problems
• On the splitting-up method for rough (partial) differential equations
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• О сильных решениях стохастических дифференциальных уравнений и их потраекторных аналогов
• The pathwise-determined maximum principle and symmetric integrals
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
• Pathwise stochastic control and a class of stochastic partial differential equations
• On the maximum principle for stochastic differential equations with a path-wise cost functional
• Duality in convex stochastic optimization
• Rough stochastic Pontryagin maximum principle and an indirect shooting method

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