Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
From MaRDI portal
Publication:1621178
DOI10.1007/s11424-018-6212-2zbMath1401.93235OpenAlexW2792316492MaRDI QIDQ1621178
Publication date: 8 November 2018
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-018-6212-2
stochastic maximum principlemean-variance portfolio selection problemterminal state constraintfinite-codimensional condition
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
Related Items
Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach, Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- First and second order necessary conditions for stochastic optimal control problems
- A general maximum principle for optimal control of forward-backward stochastic systems
- A general stochastic maximum principle for SDEs of mean-field type
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Stochastic maximum principle for distributed parameter systems
- Stochastic controls with terminal contingent conditions
- Conjugate convex functions in optimal stochastic control
- On the variational principle
- A maximum principle for stochastic control systems
- A maximum principle for stochastic optimal control with terminal state constraints, and its applications
- On the stochastic maximum principle. Fixed time of control
- Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- A General Stochastic Maximum Principle for Optimal Control Problems
- Necessary Conditions for Optimal Control of Distributed Parameter Systems
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Nonconvex minimization problems
- Maximum principle of stochastic controlled systems of functional type
- An Introductory Approach to Duality in Optimal Stochastic Control
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
