On the stochastic maximum principle. Fixed time of control
From MaRDI portal
Publication:2522752
DOI10.1016/0022-247X(65)90070-3zbMath0142.06802MaRDI QIDQ2522752
Publication date: 1965
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Related Items
Risk-sensitivity, large deviations and stochastic control ⋮ Maximum principle of optimal stochastic control with terminal state constraint and its application in finance ⋮ Optimal control of jump-linear gaussian systems† ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ On the Control of Stochastic Systems ⋮ On the convergence of the Sakawa-Shindo algorithm in stochastic control ⋮ Some remarks about open-loop control in stochastic quasilinear systems ⋮ Principles of minimum in problems of optimal control of random processes ⋮ A stochastic maximum principle for partially observed general mean-field control problems with only weak solution ⋮ Stochastic maximum principle for weighted mean-field system ⋮ Controlled mean-field backward stochastic differential equations with jumps involving the value function ⋮ Duality and sensitivity analysis of multistage linear stochastic programs ⋮ Spike Variations for Stochastic Volterra Integral Equations ⋮ Stochastic maximum principle in the mean-field controls ⋮ Optimal control of a setvalued stochastic dynamic system ⋮ Nota sobre programacion lineal estocastica: Evolucion y estado actual. (I) ⋮ On the adjoint equation of stochastic linear systems with small correlation times ⋮ Sensitivity results in stochastic optimal control: A Lagrangian perspective ⋮ Stochastic Maximum Principle for Subdiffusions and Its Applications ⋮ First and second order necessary conditions for stochastic optimal control problems ⋮ A second-order stochastic maximum principle for generalized mean-field singular control problem ⋮ A general stochastic maximum principle for SDEs of mean-field type ⋮ An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients ⋮ Backward stochastic differential equations coupled with value function and related optimal control problems ⋮ Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle ⋮ An algebraic proof of the maximum principle ⋮ Martingale approach to stochastic differential games of control and stopping ⋮ Minimax control of switching systems under sampling ⋮ Adjoint processes in stochastic optimal control problems ⋮ Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces ⋮ On the stochastic maximum principle in Banach space ⋮ Comments on: Optimal adaptive control of linear systems with unknown measurement subsystems ⋮ A risk-sensitive maximum principle ⋮ Optimal control of Markov processes with incomplete state information ⋮ Brief history of optimal control theory and some recent developments ⋮ On stochastic problems: Calculus ⋮ Duality and a priori estimates in Markovian optimization problems ⋮ Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes ⋮ On the stochastic maximum principle ⋮ Optimal adaptive control of linear systems with unknown measurement subsystems ⋮ Strategies using an observer for steering a random motion of a point in a multitarget environment ⋮ Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models ⋮ Stochastic control theory and operational research ⋮ Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
Cites Work