A variational formula for controlled backward stochastic partial differential equations and some applications
DOI10.1007/S11766-014-3156-8zbMATH Open1324.93141OpenAlexW1993350712MaRDI QIDQ2350396FDOQ2350396
Authors: Qingxin Meng, Mao-ning Tang 
Publication date: 29 June 2015
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-014-3156-8
Recommendations
- A variational formula for stochastic controls and some applications
- Backward stochastic Volterra integro-differential equations and applications in optimal control problems
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- On the existence of optimal controls for backward stochastic partial differential equations
- Backward stochastic differential equations coupled with value function and related optimal control problems
- scientific article; zbMATH DE number 4118295
- Backward stochastic differential equations and applications to optimal control
- Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
- scientific article; zbMATH DE number 2189780
stochastic maximum principlestochastic evolution equationvariational formulaspike variationbackward stochastic evolution equation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)
Cites Work
- Stochastic maximum principle for distributed parameter systems
- Maximum principle for semilinear stochastic evolution control systems
- Stochastic partial differential equations
- Adapted solution of a backward semilinear stochastic evolution equation
- Stochastic Hamilton–Jacobi–Bellman Equations
- On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- A maximum principle for optimal control of stochastic evolution equations
- Stochastic maximum principle for optimal control of SPDEs
- Stochastic controls with terminal contingent conditions
- Stochastic evolution equations
- Stochastic optimal control for backward stochastic partial differential systems
- Backward stochastic differential equations and applications to optimal control
- Maximum principle for controlled stochastic evolution equations
- On backward stochastic evolution equations in Hilbert spaces and optimal control
- A variational formula for stochastic controls and some applications
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- Title not available (Why is that?)
- Stochastic maximum principle for optimal control problem of forward and backward system
- Stochastic controls of backward systems
- BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
- Sufficient conditions of optimality for backward stochastic evolution equations
- Stochastic maximum principle for SPDEs with noise and control on the boundary
- Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
- Optimal control of backward stochastic heat equation with Neumann boundary control and noise
Cited In (4)
This page was built for publication: A variational formula for controlled backward stochastic partial differential equations and some applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2350396)
