Stochastic optimal control -- a concise introduction

DOI10.3934/MCRF.2020027MaRDI QIDQ2097682zbMATH OpenOpenAlexFDO

Authors Jiongmin Yong

Publication date 14 November 2022

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2020027

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationoptimal stochastic controlvariational methodPontryagin maximum principleRiccati equation

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• A Stochastic Differential Equation SIS Epidemic Model
• Adapted solution of a backward stochastic differential equation
• Linear quadratic stochastic differential games: open-loop and closed-loop saddle points
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(15)

• Stochastic linear-quadratic control problems with affine constraints
• Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
• New approach to stochastic optimal control
• On some recent aspects of stochastic control and their applications
• Stochastic optimal control and simulations with application to the cashew nut sector in Senegal
• Brief history of optimal control theory and some recent developments
• Stochastic Control in Discrete and Continuous Time
• A minimum principle for stochastic optimal control problem with interval cost function
• Optimal Control for Stochastic Nonlinear Schrödinger Equation on Graph
• A mini-course on stochastic control
• Introduction to the special issue on stochastic modelling, control, and robust optimization at the crossroads of engineering, environmental economics, and finance
• Stochastic linear-quadratic optimal control theory: differential games and mean-field problems
• Controlled Markov processes and viscosity solutions
• A concise introduction to control theory for stochastic partial differential equations
• scientific article; zbMATH DE number 5210013 (Why is no real title available?)

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