scientific article; zbMATH DE number 1325009
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Publication:4255599
multiobjective controlviscosity solutionssufficient conditionsstochastic Riccati equationstochastic optimal controlstochastic maximum principlestochastic LQ problemoption pricing problemsoptimal control of stochastic differential equationsnondefinite costadapted solutionsmean-variance portfolio selectionlinear quadratic optimal controlHamilton-Jacobi equationfour-step schemeForward-Backward SDEsFeynman-Kac formulaedynamic programmingcontrol-dependent diffusion
Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)
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