An Introductory Approach to Duality in Optimal Stochastic Control

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Optimality necessary conditions in singular stochastic control problems with nonsmooth data
Stochastic maximum principle for distributed parameter systems
A minimum principle for stochastic control problems with output feedback
A partially observed control problem for Markov chains
A duality analysis on stochastic partial differential equations
Stochastic controls with terminal contingent conditions
Backward stochastic differential equations with constraints on the gains-process
Optimal consumption and arbitrage in incomplete, finite state security markets
Lagrange approach to the optimal control of diffusions
Risk-sensitivity, large deviations and stochastic control
Computational aspects in applied stochastic control
Infinite horizon forward-backward stochastic differential equations
Backward problems for stochastic differential equations on the Sierpinski gasket
On the Bellman's principle of optimality
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
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
Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
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
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
General linear forward and backward stochastic difference equations with applications
Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
Convex integral functionals of regular processes
A discrete optimality system for an optimal harvesting problem
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
Stochastic maximum principle in the mean-field controls
A novel algorithm of stochastic chance-constrained linear programming and its application
A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
Singular optimal controls for stochastic recursive systems under convex control constraint
Linear quadratic mean-field-game of backward stochastic differential systems
A Stackelberg game of backward stochastic differential equations with partial information
A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
Mean-field backward stochastic differential equations and applications
Backward-forward linear-quadratic mean-field Stackelberg games
A kind of non-zero sum mixed differential game of backward stochastic differential equation
The maximum principle for stochastic control problem with Markov chain in progressive structure
Necessary condition for optimal control of doubly stochastic systems
A Stackelberg game of backward stochastic differential equations with applications
Social optima of backward linear-quadratic-Gaussian mean-field teams
Linear quadratic control of backward stochastic differential equation with partial information
A global maximum principle for stochastic optimal control problems with delay and applications
A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
A risk-sensitive maximum principle
Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control
Backward-forward linear-quadratic mean-field games with major and minor agents
Second-order necessary conditions for optimal control with recursive utilities
Stochastic optimal control of McKean-Vlasov equations with anticipating law
A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
Stochastic maximum principle for nonlinear optimal control problem of switching systems
Backward stochastic differential equations and applications to optimal control
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
A maximum principle for general backward stochastic differential equation
Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
Maximum principle for partially-observed optimal control problems of stochastic delay systems
On the integral representation of \(g\)-expectations with terminal constraints
A necessary condition of optimality for uncertain optimal control problem
Practical algorithm for stochastic optimal control problem about microbial fermentation in batch culture
New approach to stochastic optimal control
Robust dynamics and control of a partially observed Markov chain
On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
Necessary condition for optimality of forward-backward doubly system
Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
A partial history of the early development of continuous-time nonlinear stochastic systems theory
On the estimation of backward stochastic differential equations
The optimal control of diffusions
Stochastic linear quadratic control problem of switching systems with constraints
Stochastic maximum principle for systems driven by local martingales with spatial parameters
Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
Verification theorem of stochastic optimal control with mixed delay and applications to finance
Some results on pointwise second-order necessary conditions for stochastic optimal controls
Second-order Taylor expansion for backward doubly stochastic control system
Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
Non-zero sum differential games of backward stochastic differential delay equations under partial information
The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
Optimality conditions of controlled backward doubly stochastic differential equations
Maximum principle for forward-backward doubly stochastic control systems and applications
Second-Order Necessary Conditions for Stochastic Optimal Control Problems
Maximum principle for controlled fractional Fokker-Planck equations
On the convergence of the Sakawa-Shindo algorithm in stochastic control
Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
Dynamic costs and moral hazard: a duality-based approach
Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
Maximum principle for general controlled systems driven by fractional Brownian motions
The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
Forward and backward semimartingale models for gaussian processes with stationary increments

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