Conjugate convex functions in optimal stochastic control

From MaRDI portal

Publication:1393382

Jump to:navigation, search

DOI10.1016/0022-247X(73)90066-8zbMath0276.93060OpenAlexW2009905602WikidataQ56610459 ScholiaQ56610459MaRDI QIDQ1393382

Jean-Michel Bismut

Publication date: 1973

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(73)90066-8

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic analysis (60H99)

Related Items

Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation, Locally Lipschitz BSDE with jumps and related Kolmogorov equation, An Algorithm to Construct Subsolutions of Convex Optimal Control Problems, An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method, BSDEs driven by normal martingale, A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management, Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs, Generalized BSDE with two reflecting barriers, Asymptotic expansion for forward-backward SDEs with jumps, Dynamic convex duality in constrained utility maximization, Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition, Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale, Reflected backward doubly stochastic differential equations with discontinuous barrier, Unnamed Item, A new type distribution-dependent SDE for singular nonlinear PDE, Maximum principle for mean-field SDEs under model uncertainty, Generalized backward stochastic differential equations with jumps in a general filtration, Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients, Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application, \( L^p\) estimations of fully coupled FBSDEs, Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result, RBDSDEs with jumps and optional Barrier and mean field game with common noise, Irregular barrier reflected BSDEs driven by a Lévy process, On mean-field control problems for backward doubly stochastic systems, Numerical methods for backward stochastic differential equations: a survey, Mean-field type quadratic BSDEs, Temporal semi-discretizations of a backward semilinear stochastic evolution equation, Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs, Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem, Backward stochastic evolution inclusions in UMD Banach spaces, Wellposedness of second order reflected BSDEs: A new formulation, Continuity problem for singular BSDE with random terminal time, Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach, Anticipated backward SDEs with jumps and quadratic-exponential growth drivers, A framework of BSDEs with stochastic Lipschitz coefficients, 𝕃^p solutions of reflected backward stochastic differential equations with jumps, Unnamed Item, High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control, Undiscounted Markov Chain BSDEs to Stopping Times, Terminal-Dependent Statistical Inferences for FBSDE, Convex Analysis and Optimization in the Past 50 Years: Some Snapshots, L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients, Derivatives pricing viap-optimal martingale measures: some extreme cases, Conjugate duality in problems of constrained utility maximization, Multi-dimensional backward stochastic differential equations of diagonally quadratic generators, Second-order Taylor expansion for backward doubly stochastic control system, A stochastic maximum principle for backward control systems with random default time, Non-Markovian fully coupled forward–backward stochastic systems and classical solutions of path-dependent PDES, Path-dependent BSDEs with jumps and their connection to PPIDEs, Brief history of optimal control theory and some recent developments, Conjugate duality in stochastic controls with delay, Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing, ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL, A polynomial scheme of asymptotic expansion for backward SDEs and option pricing, Fully coupled forward–backward stochastic dynamics and functional differential systems, A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps, A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs, General indefinite backward stochastic linear-quadratic optimal control problems, On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations, Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure, A time-changed stochastic control problem and its maximum principle theory, Optimal investment in incomplete markets when wealth may become negative., Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions., Maximum principle of optimal stochastic control with terminal state constraint and its application in finance, Utility maximizing entropy and the second law of thermodynamics., Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property, Stochastic retarded inclusion with Carathéodory-upper separated multifunctions, The design of feedback rules in linear stochastic rational expectations models, Credibility and time consistency in a stochastic world, Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions, Harmonic analysis of stochastic equations and backward stochastic differential equations, The probabilistic structure of controlled diffusion processes, Maximum principle for controlled fractional Fokker-Planck equations, Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes, On the convergence of the Sakawa-Shindo algorithm in stochastic control, Maximum principle for general controlled systems driven by fractional Brownian motions, Markovian forward-backward stochastic differential equations and stochastic flows, On a PDE arising in one-dimensional stochastic control problems, Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions, Second order reflected backward stochastic differential equations, Quadratic minimization with portfolio and intertemporal wealth constraints, The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem, Second-order BSDEs with general reflection and game options under uncertainty, Solvability of forward-backward stochastic partial differential equations, Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models, Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming, A regression-based numerical scheme for backward stochastic differential equations, A duality approach to continuous-time contracting problems with limited commitment, A solvable continuous time dynamic principal-agent model, Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps, Double barrier reflected BSDEs with stochastic Lipschitz coefficient, Optimal variational principle for backward stochastic control systems associated with Lévy processes, \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE, Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier, A type of time-symmetric forward-backward stochastic differential equations, Backward nonlinear expectation equations, A general optimality conditions for stochastic control problems of jump diffusions, Backward stochastic differential equations with rank-based data, Wellposedness of second order backward SDEs, Stochastic Navier-Stokes equations with artificial compressibility in random durations, Reflected BSDEs with optional barrier in a general filtration, Sufficient stochastic maximum principle in a regime-switching diffusion model, 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, A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications, On the quasi-linear reflected backward stochastic partial differential equations, One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators, A stability approach for solving multidimensional quadratic BSDEs, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case, On the orthogonal component of BSDEs in a Markovian setting, Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation, Necessary and sufficient conditions in the problem of optimal investment in incomplete markets, Malliavin calculus for backward stochastic differential equations and application to numerical solutions, A solvable dynamic principal-agent model with linear marginal productivity, A unified framework for utility maximization problems: An Orlicz space approach, Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case, 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010, Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach, Sufficient stochastic maximum principle for discounted control problem, Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains, Generalized BSDE driven by a Lévy process, Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases, Martingale approach to stochastic differential games of control and stopping, Lagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionals, Utility maximization with habit formation of interaction, Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming, Anticipative backward stochastic differential equations driven by fractional Brownian motion, Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach, A class of globally solvable Markovian quadratic BSDE systems and applications, Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering, Density analysis of non-Markovian BSDEs and applications to biology and finance, A stochastic maximum principle for general controlled systems driven by fractional Brownian motions, A stochastic Fubini theorem: BSDE method, \(L^p\) solution of backward stochastic differential equations driven by a marked point process, Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions, Jiongmin Yong's mathematical works in recent thirty years, Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging., Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance, Anticipated backward stochastic differential equations driven by the Teugels martingales, Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon, Backward SDEs with superquadratic growth, Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs, An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation, Comparison theorem for diagonally quadratic BSDEs, A discrete optimality system for an optimal harvesting problem, The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time, Stochastic ordering by \(g\)-expectations, Doubly reflected BSDEs with integrable parameters and related Dynkin games, Second-order BSDEs with jumps: formulation and uniqueness, Solutions to general forward-backward doubly stochastic differential equations, A new numerical method for 1-D backward stochastic differential equations without using conditional expectations, Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales, The asymptotic elasticity of utility functions and optimal investment in incomplete markets, An equilibrium model of risk and investment, Lagrange approach to the optimal control of diffusions, Growth and optimal intertemporal allocation of risks, On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case, Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations, Stochastic control of individual's health investments, Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach, Optional and predictable projections of normal integrands and convex-valued processes, A characterization of solutions of quadratic BSDEs and a new approach to existence, Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes, Backward stochastic differential equations with regime-switching and sublinear expectations, Maximal-Valued Extensions of Positive Operators, A partial history of the early development of continuous-time nonlinear stochastic systems theory, BSDE, path-dependent PDE and nonlinear Feynman-Kac formula, Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator, BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs, Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs, Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments, Ergodic BSDEs driven by G-Brownian motion and applications, Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient, On the integral representation of \(g\)-expectations with terminal constraints, Predictable solution for reflected BSDEs when the obstacle is not right-continuous, The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions, Dynamics of solvency risk in life insurance liabilities, Weighted bounded mean oscillation applied to backward stochastic differential equations, Minimizing the lifetime ruin under borrowing and short-selling constraints, \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps, The optimal solution to a principal-agent problem with unknown agent ability, Optimal control for stochastic Volterra equations with multiplicative Lévy noise, Duality and lower bounds in optimal stochastic control, Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions, A Fourier transform method for solving backward stochastic differential equations, General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition, Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps, BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient, Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain, A Monte Carlo method for backward stochastic differential equations with Hermite martingales, The shadow price of information in continuous time decision problems, Limit behaviour of BSDE with jumps and with singular terminal condition, Anticipated backward stochastic variational inequalities with generalized reflection, Optimal control of a setvalued stochastic dynamic system, Dual spaces of cadlag processes, Upper separated multifunctions in deterministic and stochastic optimal control, Sensitivity results in stochastic optimal control: A Lagrangian perspective, A type of globally solvable BSDEs with triangularly quadratic generators, Fractional backward SDEs with locally monotone coefficient and application to PDEs, Backward stochastic differential equations driven by \(G\)-Brownian motion, Ong−evaluations with domains under jump filtration, \(L^p\) estimates for fully coupled FBSDEs with jumps, Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations, Optimal consumption-investment under partial information in conditionally log-Gaussian models, Second order backward stochastic differential equations with quadratic growth, Pontryagin's maximum principle for optimal control of stochastic SEIR models, Simulation of BSDEs by Wiener chaos expansion, A dual representation result for value functions in stochastic control of infinite dimensional groups, Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle, Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal, New approach to stochastic optimal control, Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach, Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process, The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs, Solvability of backward stochastic differential equations with quadratic growth, Adjoint processes in stochastic optimal control problems, Backward stochastic partial differential equations related to utility maximization and hedging, Optimality principle and synthesis for a stochastic control problem in hilbert spaces, Dual method for continuous-time Markowitz's problems with nonlinear wealth equations, Approximately reachable directions for piecewise linear switched systems, Reflected BSDE’s with discontinuous barrier and time delayed generators, A Feynman-Kac result via Markov BSDEs with generalised drivers, Short-time asymptotic expansions of semilinear evolution equations, Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions, BSDEs with jumps and path-dependent parabolic integro-differential equations, Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples, A unified approach to well-posedness of type-I backward stochastic Volterra integral equations, COMPUTING ANTICIPATORY PROPERTY IN STOCHASTIC DIFFERENTIAL SYSTEMS, On approximation of BSDE and multi-step MLE-processes, Backward stochastic differential equations with Young drift, The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth, Convex integral functionals of processes of bounded variation, Global controllability for quasilinear nonnegative definite system of ODEs and SDEs, BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk, A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance, Terminal-dependent statistical inference for the integral form of FBSDE, On a Class of Quadratic Growth RBSDE with Jumps and Its Application, Explicit deferred correction methods for second-order forward backward stochastic differential equations, Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem, Existence and optimality conditions in stochastic control of linear BSDEs, Optimality conditions of controlled backward doubly stochastic differential equations, Predictable representation for time inhomogeneous Lévy processes and BSDEs, Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations, On generalized reflected BSDEs with Rcll obstacle, Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales, Optimal control of SDEs with expected path constraints and related constrained FBSDEs, \(g\)-expectation of distributions, Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models, Reflected BSDEs when the obstacle is not right-continuous in a general filtration, Convex duality in constrained mean-variance portfolio optimization, A fully quantization-based scheme for FBSDEs, Solutions for functional fully coupled forward-backward stochastic differential equations, Multivalued backward stochastic differential equations with oblique subgradients, Second-order Taylor expansion for backward doubly stochastic control system, A stochastic maximum principle for backward control systems with random default time, Quadratic minimization with portfolio and terminal wealth constraints, Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset, A BSDE Approach to Convex Risk Measures for Derivative Securities, Doubly reflected backward stochastic differential equations in the predictable setting, Integro-partial differential equations with singular terminal condition

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1393382&oldid=13551772"