Stochastic optimal control -- a concise introduction

DOI10.3934/MCRF.2020027OpenAlexW3034016552MaRDI QIDQ2097682FDOQ2097682

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

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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)

Cites Work

• Title not available (Why is that?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• Viscosity Solutions of Hamilton-Jacobi Equations
• Title not available (Why is that?)
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• Adapted solution of a backward stochastic differential equation
• A Stochastic Differential Equation SIS Epidemic Model
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
• Linear quadratic stochastic differential games: open-loop and closed-loop saddle points

Cited In (10)

• Stochastic Control in Discrete and Continuous Time
• On some recent aspects of stochastic control and their applications
• A minimum principle for stochastic optimal control problem with interval cost function
• Optimal Control for Stochastic Nonlinear Schrödinger Equation on Graph
• Stochastic linear-quadratic control problems with affine constraints
• Title not available (Why is that?)
• Controlled Markov processes and viscosity solutions
• Introduction to the special issue on stochastic modelling, control, and robust optimization at the crossroads of engineering, environmental economics, and finance
• New approach to stochastic optimal control
• Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems

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