Sensitivity results in stochastic optimal control: A Lagrangian perspective

DOI10.1051/cocv/2015039zbMath1354.93171OpenAlexW2470593971MaRDI QIDQ2963496

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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

Lagrange multiplierssensitivity analysisstochastic controlPontryagin's maximum principleLQ problemsmean variance portfolio selection problem

Mathematics Subject Classification ID

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

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