Sufficient maximum principle for stochastic optimal control problems with general delays
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Cites work
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- A Stochastic Maximum Principle for Delayed Mean-Field Stochastic Differential Equations and Its Applications
- A continuous-time GARCH model for stochastic volatility with delay
- A maximum principle for infinite horizon delay equations
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
- A stochastic maximum principle for partially observed stochastic control systems with delay
- Anticipated backward stochastic differential equations
- Forward-backward stochastic differential equation games with delay and noisy memory
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes
- Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays
- Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
- Maximum principle for the stochastic optimal control problem with delay and application
- Optimal control of forward-backward mean-field stochastic delayed systems
- Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
- Optimal control of mean-field jump-diffusion systems with noisy memory
- Optimal control of nonzero sum game mean‐field delayed Markov regime‐switching forward‐backward system with Lévy processes
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
- Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
Cited in
(14)- A maximum principle for discrete-time stochastic optimal control problemE20 with delay
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
- Conjugate duality in stochastic controls with delay
- Maximum principle for an optimal control problem associated to a stochastic variational inequality with delay
- Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
- Linear-quadratic optimal control problems of state delay systems under full and partial information
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
- Maximum principle for stochastic optimal control problem with distributed delays
- Stochastic maximum principle for problems with delay with dependence on the past through general measures
- Maximum principle for delayed stochastic mean-field control problem with state constraint
- A global maximum principle for stochastic optimal control problems with delay and applications
- A general maximum principle for optimal control of stochastic differential delay systems
- Emission reduction of low-carbon supply chain based on uncertain differential game
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