A General Stochastic Maximum Principle for Optimal Control Problems
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Cited in
(only showing first 100 items - show all)- Differential games of \(N\) players in stochastic systems with controlled diffusion terms
- Optimality necessary conditions in singular stochastic control problems with nonsmooth data
- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- Maximum principle for semilinear stochastic evolution systems
- Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
- Stochastic controls with terminal contingent conditions
- Backward stochastic differential equations with constraints on the gains-process
- Applicable stochastic control: From theory to practice
- On solutions of backward stochastic differential equations with jumps and applications
- Optimal control of diffusions
- Conditional essential suprema with applications
- Infinite horizon forward-backward stochastic differential equations
- Stochastic maximum principle for optimal control of partial differential equations driven by white noise
- A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
- Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
- The stochastic maximum principle in singular optimal control with recursive utilities
- Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
- Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- A random parameter model for continuous-time mean-variance asset-liability management
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
- Near-optimal control of stochastic recursive systems via viscosity solution
- \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
- Controlled mean-field backward stochastic differential equations with jumps involving the value function
- The general relaxed control problem of fully coupled forward-backward doubly system
- A second-order stochastic maximum principle for generalized mean-field singular control problem
- The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
- Backward stochastic differential equations coupled with value function and related optimal control problems
- Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
- Necessary conditions of optimality for some stochastic integrodifferential equations of neutral type on Hilbert spaces
- A stochastic maximum principle for processes driven by fractional Brownian motion.
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- A discrete optimality system for an optimal harvesting problem
- Robust stability, stabilization, and \(H_{\infty}\) control of a class of nonlinear discrete time stochastic systems
- Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
- A new look at the Lagrange method for continuous-time stochastic optimization
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- Stochastic maximum principle in the mean-field controls
- Optimal control of diffusions with hard terminal state restrictions
- \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
- Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
- A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Stochastic maximum principle on a continuous-time behavioral portfolio model
- Partial derivative with respect to the measure and its application to general controlled mean-field systems
- Strong solutions of forward-backward stochastic differential equations with measurable coefficients
- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
- A sparse-grid probabilistic scheme for approximation of the runaway probability of electrons in fusion tokamak simulation
- Explicit solutions for a class of nonlinear BSDEs and their nodal sets
- Optimal control of SDEs with expected path constraints and related constrained FBSDEs
- A concise introduction to control theory for stochastic partial differential equations
- Stochastic optimal control -- a concise introduction
- The stochastic maximum principle for relaxed control problem with regime-switching
- Maximum principle for discrete-time stochastic optimal control problem and stochastic game
- A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
- A maximum principle for a stochastic control problem with multiple random terminal times
- Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
- Maximum principle for general partial information nonzero sum stochastic differential games and applications
- The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients
- Robust optimal control of deterministic information epidemics with noisy transition rates
- Maximum principle for discrete-time stochastic control problem of mean-field type
- The maximum principle for stochastic control problem with Markov chain in progressive structure
- On first order mean field game systems with a common noise
- Necessary conditions for stochastic optimal control problems in infinite dimensions
- Necessary condition for optimal control of doubly stochastic systems
- Optimal bilinear control of stochastic nonlinear Schrödinger equations: mass-(sub)critical case
- The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
- An efficient numerical algorithm for solving data driven feedback control problems
- Pontryagin's maximum principle for optimal control of stochastic SEIR models
- A general stochastic maximum principle for mean-field controls with regime switching
- Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
- A stochastic maximum principle for control problems constrained by the stochastic Navier-Stokes equations
- Non-equivalence of stochastic optimal control problems with open and closed loop controls
- Global solutions of stochastic Stackelberg differential games under convex control constraint
- A global maximum principle for stochastic optimal control problems with delay and applications
- Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
- Partially observed time-inconsistency recursive optimization problem and application
- On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
- A mean-field necessary and sufficient conditions for optimal singular stochastic control
- Optimal bounded control of quasi-nonintegrable Hamiltonian systems using stochastic maximum principle
- Linear quadratic Pareto game of the stochastic systems in infinite horizon
- A risk-sensitive maximum principle
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Controlled reflected SDEs and Neumann problem for backward SPDEs
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Stochastic global maximum principle for optimization with recursive utilities
- Restoring uniqueness to mean-field games by randomizing the equilibria
- Second-order necessary conditions for optimal control with recursive utilities
- A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
- A maximum principle for fully coupled stochastic control systems of mean-field type
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
- Optimal life schedule with stochastic growth in age-size structured models: theory and an application
- Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
- Stochastic differential games for fully coupled FBSDEs with jumps
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