On the stochastic maximum principle. Fixed time of control

Cites Work

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A maximum principle for stochastic control systems
On stochastic problems: Calculus

Cited In (47)

On stochastic problems: Calculus
Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Spike Variations for Stochastic Volterra Integral Equations
Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
Duality and sensitivity analysis of multistage linear stochastic programs
A general stochastic maximum principle for SDEs of mean-field type
Controlled mean-field backward stochastic differential equations with jumps involving the value function
The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
Optimal control of Markov processes with incomplete state information
Optimal adaptive control of linear systems with unknown measurement subsystems
First and second order necessary conditions for stochastic optimal control problems
Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
A risk-sensitive maximum principle
Nota sobre programacion lineal estocastica: Evolucion y estado actual. (I)
Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
Principles of minimum in problems of optimal control of random processes
An algebraic proof of the maximum principle
A general maximum principle for discrete fractional stochastic control system of mean-field type
Risk-sensitivity, large deviations and stochastic control
A stochastic maximum principle for partially observed general mean-field control problems with only weak solution
Stochastic maximum principle for weighted mean-field system
Stochastic maximum principle in the mean-field controls
Brief history of optimal control theory and some recent developments
An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
On the Control of Stochastic Systems
Backward stochastic differential equations coupled with value function and related optimal control problems
On the convergence of the Sakawa-Shindo algorithm in stochastic control
Optimal control of a setvalued stochastic dynamic system
Stochastic Maximum Principle for Subdiffusions and Its Applications
Adjoint processes in stochastic optimal control problems
Stochastic control theory and operational research
Optimal control of jump-linear gaussian systems†
On the stochastic maximum principle
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
Martingale approach to stochastic differential games of control and stopping
Some remarks about open-loop control in stochastic quasilinear systems
A general maximum principle for optimal control of stochastic differential delay systems
On the adjoint equation of stochastic linear systems with small correlation times
Sensitivity results in stochastic optimal control: a Lagrangian perspective
On the stochastic maximum principle in Banach space
Comments on: 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
A second-order stochastic maximum principle for generalized mean-field singular control problem
Minimax control of switching systems under sampling

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