Backward stochastic differential equations and applications to optimal control

DOI10.1007/BF01195978zbMATH Open0769.60054OpenAlexW1985059387MaRDI QIDQ2366091FDOQ2366091

Authors: Shige Peng 

Publication date: 29 June 1993

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01195978

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zbMATH Keywords

stochastic differential equationexistence and uniquenessmatrix Riccati equationstochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

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• Singular perturbation results for a class of stochastic control problems

Cited In (only showing first 100 items - show all)

• Second-order necessary conditions for optimal control with recursive utilities
• A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
• A Black-Scholes formula for option pricing with dividends
• Near-optimal control for stochastic recursive problems
• Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
• A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
• Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities
• Maximum principle for forward-backward doubly stochastic control systems and applications
• Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
• Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
• Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
• Loss of regularity for Kolmogorov equations
• Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Linear quadratic mean-field-game of backward stochastic differential systems
• The stochastic maximum principle in singular optimal control with recursive utilities
• Homeomorphism of solutions to backward SDEs and applications
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• Necessary and sufficient conditions of optimal control for infinite dimensional SDEs
• Generalized mean-field backward stochastic differential equations and related partial differential equations
• Maximum principle for stochastic recursive optimal control problem under model uncertainty
• Title not available (Why is that?)
• An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem
• Ergodic BSDEs driven by \(G\)-Brownian motion and applications
• Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
• Stochastic global maximum principle for optimization with recursive utilities
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
• Mean-field backward stochastic differential equations in general probability spaces
• Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
• Recursive utility optimization with concave coefficients
• Mean-field backward stochastic differential equations with subdifferential operator and its applications
• Near-relaxed control problem of fully coupled forward-backward doubly system
• Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions
• On the homotopy analysis method for backward/forward-backward stochastic differential equations
• A modified method of successive approximations for stochastic recursive optimal control problems
• Near‐optimal control of a stochastic pine wilt disease model with prevention strategies
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Stochastic maximum principle for optimal control with multiple priors
• Near‐optimal control of a stochastic model for mountain pine beetles with pesticide application
• A maximum principle for fully coupled stochastic control systems of mean-field type
• Numerical methods for backward stochastic differential equations: a survey
• Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
• The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
• Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
• Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• Non-zero sum differential games of backward stochastic differential delay equations under partial information
• An option pricing problem with the underlying stock paying dividends
• Maximum principle for optimal control of SPDEs with locally monotone coefficients
• On controllability for stochastic control systems when the coefficient is time-variant
• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
• Forward-backward systems for expected utility maximization
• On optimal control of forward-backward stochastic differential equations
• Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
• On the existence of stochastic optimal control of distributed state system
• Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
• Adapted solution of a backward stochastic differential equation
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• On solutions of backward stochastic differential equations with jumps and applications
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
• Title not available (Why is that?)
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Ergodic BSDEs under weak dissipative assumptions
• Stochastic optimal control problems under G-expectation
• Backward stochastic differential equations with constraints on the gains-process
• A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
• Ergodic BSDEs and related PDEs with Neumann boundary conditions
• Stochastic controls with terminal contingent conditions
• Backward SDE representation for stochastic control problems with nondominated controlled intensity
• BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
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• Existence, uniqueness and space regularity of the adapted solutions of a backward spde
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• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Stability of backward stochastic differential equations
• Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
• Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
• Existence of an optimal control for stochastic control systems with nonlinear cost functional
• Forward-backward linear quadratic stochastic optimal control problem with delay
• Sufficient and necessary conditions for stochastic near-optimal controls: a stochastic chemostat model with non-zero cost inhibiting
• A maximum principle for partially observed optimal control of forward-backward stochastic control systems
• Optimal variational principle for backward stochastic control systems associated with Lévy processes

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