scientific article; zbMATH DE number 5556691

zbMATH Open1167.60337MaRDI QIDQ3626652FDOQ3626652

Authors: Jiongmin Yong 

Publication date: 22 May 2009

Title of this publication is not available (Why is that?)

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zbMATH Keywords

optimal controlPontryagin maximum principleadapted M-solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Cited In (24)

• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• Variation of constants formulae for forward and backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations with jumps in a general filtration
• Well-posedness and regularity of backward stochastic Volterra integral equations
• Mean-field backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations on Markov chains
• Linear backward stochastic differential equations with Gaussian Volterra processes
• Solvability of anticipated backward stochastic Volterra integral equations
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Discretization of backward stochastic Volterra integral equations
• Representation of adapted solutions to backward stochastic Volterra integral equations
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations and some related problems
• Backward stochastic Volterra integral equations with additive perturbations
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
• Backward stochastic Volterra integral equations with general martingales
• Backward stochastic Volterra integral equations -- a brief survey
• Backward doubly stochastic Volterra integral equations and their applications
• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• Stochastic Itô-Volterra backward equations in Banach spaces
• Linear Volterra backward stochastic integral equations
• Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula

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