Sensitivity results in stochastic optimal control: a Lagrangian perspective
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- A General Stochastic Maximum Principle for Optimal Control Problems
- A new look at the Lagrange method for continuous-time stochastic optimization
- Conjugate convex functions in optimal control and the calculus of variations
- Conjugate convex functions in optimal stochastic control
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- First Order Conditions for General Nonlinear Optimization
- First and second order necessary conditions for stochastic optimal control problems
- First and second-order necessary and sufficient optimality conditions for infinite-dimensional programming problems
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
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- Regularity and stability for the mathematical programming problem in Banach spaces
- Solving optimal control problems by means of general Lagrange functionals
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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- Stochastic maximum principle for distributed parameter systems
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
- Théorie probabiliste du contrôle des diffusions
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- Existence of Lagrange multipliers under Gâteaux differentiable data with applications to stochastic optimal control problems
- 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
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