scientific article
From MaRDI portal
Publication:3049410
zbMath0414.49017MaRDI QIDQ3049410
Vadim I. Arkin, M. T. Saksonov
Publication date: 1979
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)
Related Items
The maximum principle for the nonlinear stochastic optimal control problem of switching systems ⋮ Exponential stabilization of stochastic interval system with time dependent parameters ⋮ Stochastic maximum principle in the mean-field controls ⋮ The pathwise-determined maximum principle and symmetric integrals ⋮ A general optimality conditions for stochastic control problems of jump diffusions ⋮ Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations ⋮ A second-order stochastic maximum principle for generalized mean-field singular control problem ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Stabilization in probability and mean square of controlled stochastic dynamical system with state delay ⋮ A general maximum principle for optimal control of forward-backward stochastic systems ⋮ On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients ⋮ Optimality conditions for partial information stochastic control problems driven by Lévy processes ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Stochastic controls with terminal contingent conditions ⋮ Backward stochastic differential equations with constraints on the gains-process ⋮ Stochastic maximum principle for nonlinear optimal control problem of switching systems