Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales

DOI10.1080/07362990600869902zbMath1123.93089OpenAlexW2017479137MaRDI QIDQ3423719

Nils Chr. Framstad

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10672

zbMATH Keywords

optimal controlsemimartingalessufficient maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Stochastic control of ecological networks

Cites Work

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• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Backward-forward stochastic differential equations
• Conjugate convex functions in optimal stochastic control
• A General Stochastic Maximum Principle for Optimal Control Problems
• Sufficient Conditions in Optimal Control Theory
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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