Near-optimal control for stochastic recursive problems

DOI10.1016/j.sysconle.2010.10.010zbMath1210.93083OpenAlexW1999079962MaRDI QIDQ2430960

Xun Li, Jianhui Huang, Guangchen Wang, Eddie C. M. Hui

Publication date: 8 April 2011

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2010.10.010

zbMATH Keywords

Ekeland's principlebackward stochastic differential equationsufficient conditionnecessary conditionnear-optimal

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)

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Successive approximation and optimal controls on fractional neutral stochastic differential equations with Poisson jumps ⋮ Near-maximum principle for general recursive utility optimal control problem ⋮ Near-optimal control of stochastic recursive systems via viscosity solution ⋮ Stochastic maximum principle for optimal control problem with a stopping time cost functional ⋮ Near-optimality conditions in stochastic control of linear fully coupled FBSDEs ⋮ A revisit to stochastic near-optimal controls: the critical case ⋮ Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system ⋮ Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation ⋮ On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality ⋮ Necessary condition for near optimal control of linear forward–backward stochastic differential equations ⋮ Maximum principle for near-optimality of mean-field FBSDEs ⋮ A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems

Cites Work

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• Near-optimal controls of random-switching LQ problems with indefinite control weight costs
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• Backward stochastic differential equations and applications to optimal control
• Nonconvex minimization problems
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality

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