scientific article; zbMATH DE number 1325009

zbMath0943.93002MaRDI QIDQ4255599

Jiong-min Yong, Xun Yu Zhou

Publication date: 19 August 1999

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dynamic programmingHamilton-Jacobi equationstochastic optimal controlstochastic LQ problemstochastic maximum principlesufficient conditionsviscosity solutionsstochastic Riccati equationmean-variance portfolio selectionlinear quadratic optimal controlFeynman-Kac formulaeoption pricing problemsadapted solutionsmultiobjective controlcontrol-dependent diffusionForward-Backward SDEsfour-step schemenondefinite costoptimal control of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)