Sensitivity results in stochastic optimal control: A Lagrangian perspective

DOI10.1051/COCV/2015039zbMATH Open1354.93171OpenAlexW2470593971MaRDI QIDQ2963496FDOQ2963496

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Publication date: 14 February 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2015039

zbMATH Keywords

sensitivity analysisLagrange multipliersPontryagin's maximum principlestochastic controlLQ problemsmean variance portfolio selection problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Variational methods involving nonlinear operators (47J30) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Sensitivity analysis for optimization problems on manifolds (49Q12) Optimal stochastic control (93E20)

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Cited In (8)

• Existence of Lagrange Multipliers under Gâteaux Differentiable Data with Applications to Stochastic Optimal Control Problems
• Stability of solutions to extremal problems with constraints based on \(\lambda \)-truncations
• Sensitivity interpretations of the costate function of optimal control
• Sensitivity analysis for expected utility maximization in incomplete Brownian market models
• On the convergence of the Sakawa-Shindo algorithm in stochastic control
• Necessary and sufficient conditions for Pareto optimality of the stochastic systems in finite horizon
• Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls
• On sensitivity in optimal control problems

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