Stochastic controls with terminal contingent conditions
From MaRDI portal
Publication:1307260
DOI10.1006/jmaa.1999.6515zbMath0937.93053OpenAlexW2166893324MaRDI QIDQ1307260
Publication date: 23 May 2000
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmaa.1999.6515
maximum principleduality gapLagrangianbackward stochastic differential equationadjoint equationlinear-quadratic control
Related Items (45)
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 ⋮ First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems ⋮ The stochastic maximum principle in singular optimal control with recursive utilities ⋮ A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems ⋮ Maximum principle for optimal control problems of forward-backward regime-switching system and applications ⋮ Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps ⋮ On backward stochastic evolution equations in Hilbert spaces and optimal control ⋮ Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Near-optimality conditions in stochastic control of linear fully coupled FBSDEs ⋮ Necessary conditions for optimal control of forward-backward stochastic systems with random jumps ⋮ On optimal control of forward-backward stochastic differential equations ⋮ Optimal control problem of backward stochastic differential delay equation under partial information ⋮ Robust backward linear-quadratic differential game and team: a soft-constraint analysis ⋮ Optimal variational principle for backward stochastic control systems associated with Lévy processes ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information ⋮ Mean-field type games between two players driven by backward stochastic differential equations ⋮ Forward-backward linear quadratic stochastic optimal control problem with delay ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ A general maximum principle for optimal control of forward-backward stochastic systems ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations ⋮ Linear quadratic control of backward stochastic differential equation with partial information ⋮ Optimal control of backward stochastic heat equation with Neumann boundary control and noise ⋮ A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information ⋮ Existence of optimal controls for systems driven by FBSDEs ⋮ Existence of an optimal control for stochastic control systems with nonlinear cost functional ⋮ Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs ⋮ Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching ⋮ Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control ⋮ A stochastic maximum principle for backward control systems with random default time ⋮ Stochastic global maximum principle for optimization with recursive utilities ⋮ Stochastic controls of backward systems ⋮ Existence and optimality conditions in stochastic control of linear BSDEs ⋮ Optimality conditions of controlled backward doubly stochastic differential equations ⋮ A Stackelberg game of backward stochastic differential equations with partial information ⋮ Second-order necessary conditions for optimal control with recursive utilities ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type ⋮ A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems ⋮ Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems ⋮ Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs ⋮ A stochastic maximum principle for backward control systems with random default time ⋮ A variational formula for controlled backward stochastic partial differential equations and some applications ⋮ Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
Cites Work
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and applications to optimal control
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
- A General Stochastic Maximum Principle for Optimal Control Problems
- Regular Conditional Expectations of Correspondences
- An Introductory Approach to Duality in Optimal Stochastic Control
- Backward Stochastic Differential Equations in Finance
- Sufficient conditions of optimality for stochastic systems with controllable diffusions
- Optimal Control of Partially Observable Diffusions
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Stochastic controls with terminal contingent conditions
