Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

Cited in

(only showing first 100 items - show all)

Optimality necessary conditions in singular stochastic control problems with nonsmooth data
Stochastic maximum principle for distributed parameter systems
A partially observed control problem for Markov chains
Stochastic convex programming: Kuhn-Tucker conditions
Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
Stochastic controls with terminal contingent conditions
A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems
Lagrange approach to the optimal control of diffusions
Risk-sensitivity, large deviations and stochastic control
Infinite horizon forward-backward stochastic differential equations
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
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
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
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
Exponential stabilization of stochastic interval system with time dependent parameters
Stochastic maximum principle in the mean-field controls
Optimal control of diffusions with hard terminal state restrictions
Sufficient and necessary conditions for stochastic near-optimal controls: a stochastic chemostat model with non-zero cost inhibiting
A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
Singular optimal controls for stochastic recursive systems under convex control constraint
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
The stochastic maximum principle for relaxed control problem with regime-switching
Maximum principle for discrete-time stochastic control problem of mean-field type
Pontryagin's maximum principle for optimal control of stochastic SEIR models
A global maximum principle for stochastic optimal control problems with delay and applications
A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
A risk-sensitive maximum principle
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
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
Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
A necessary condition of optimality for uncertain optimal control problem
Practical algorithm for stochastic optimal control problem about microbial fermentation in batch culture
Stabilization in probability and mean square of controlled stochastic dynamical system with state delay
New approach to stochastic optimal control
On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
Robust output stabilization for a class of nonlinear uncertain stochastic systems under multiplicative and additive noises: the attractive ellipsoid method
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
The optimal control of diffusions
Stochastic linear quadratic control problem of switching systems with constraints
Optimal consumption-investment under partial information in conditionally log-Gaussian models
Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
Some results on pointwise second-order necessary conditions for stochastic optimal controls
Second-order Taylor expansion for backward doubly stochastic control system
A stochastic maximum principle for backward control systems with random default time
Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
Derivation and application of quantum Hamilton equations of motion
Backward doubly stochastic equations with jumps and comparison theorems
The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
Maximum principle for forward-backward doubly stochastic control systems and applications
Second-Order Necessary Conditions for Stochastic Optimal Control Problems
On the convergence of the Sakawa-Shindo algorithm in stochastic control
A necessary condition for optimality in a problem of stochastic control with discretized observations
Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales
Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
Parameter sensitivity in stochastic optimal control^∗
Necessary conditions for optimality for a diffusion with a non-smooth drift
On the integral representation of functionals of ltd processest
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
Maximum principle of stochastic controlled systems of functional type
Adapted solution of a backward semilinear stochastic evolution equation
An algorithm for solving a stochastic control problem
A general optimality conditions for stochastic control problems of jump diffusions
First and second order necessary conditions for stochastic optimal control problems
Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations
Life insurance and pension contracts. II: The life cycle model with recursive utility
An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
An efficient gradient projection method for stochastic optimal control problems
On existence and uniqueness of solutions to uncertain backward stochastic differential equations
The relaxed optimal control problem for mean-field SDEs systems and application
Stochastic optimal control problems with control and initial-final states constraints
Robust optimal control for minimax stochastic linear quadratic problem
Robust stochastic maximum principle for multi-model worst case optimization
Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
Sufficient stochastic maximum principle for discounted control problem
Second order necessary conditions for optimal control problems of stochastic evolution equations
First and second order necessary conditions for stochastic optimal controls
Second-order Taylor expansion for backward doubly stochastic control system
A stochastic maximum principle for backward control systems with random default time
A time-changed stochastic control problem and its maximum principle maximum principle
Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
Necessary conditions of Pontraygin's type for general controlled stochastic Volterra integral equations
Optimal generation and trading in solar renewable energy certificate (SREC) markets
The maximum principle for partially observed optimal control problems of mean-field FBSDEs
Brief history of optimal control theory and some recent developments
Impulse control of a diffusion with a change point

This page was built for publication: Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5653899)