scientific article; zbMATH DE number 1343080

MaRDI QIDQ4266941zbMATH OpenFDO

Authors Zhen Wu

Publication date 11 January 2000

zbMATH Keywords

coupled stochastic systemmaximum principlestochastic optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cited in

(78)

• Comparison theorems for forward backward SDEs
• A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
• Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
• The general relaxed control problem of fully coupled forward-backward doubly system
• A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
• Delayed stochastic linear-quadratic control problem and related applications
• Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
• Stochastic optimal control for backward stochastic partial differential systems
• The comparison theorem of FBSDE
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• Singular optimal controls for stochastic recursive systems under convex control constraint
• A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
• Necessary condition for optimal control of doubly stochastic systems
• Global solutions of stochastic Stackelberg differential games under convex control constraint
• Mean field game for linear-quadratic stochastic recursive systems
• Stochastic global maximum principle for optimization with recursive utilities
• Second-order necessary conditions for optimal control with recursive utilities
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• A maximum principle for fully coupled stochastic control systems of mean-field type
• A variational formula for controlled backward stochastic partial differential equations and some applications
• A maximum principle for general backward stochastic differential equation
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
• A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
• Stochastic maximum principle for optimal control with multiple priors
• Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
• Necessary condition for optimality of forward-backward doubly system
• Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
• Fully coupled forward-backward stochastic functional differential equations and applications to quadratic optimal control
• Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints
• Verification theorem of stochastic optimal control with mixed delay and applications to finance
• Necessary and sufficient conditions of optimality for optimal control problems of forward and backward systems
• Maximum principle for forward-backward doubly stochastic control systems and applications
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
• Maximum principle for stochastic recursive optimal control problems involving impulse controls
• Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
• A global stochastic maximum principle for fully coupled forward-backward stochastic systems
• Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps
• Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes
• Stochastic maximum principle for optimal control problem of forward and backward system
• A general maximum principle for optimal control of forward-backward stochastic systems
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
• Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
• The maximum principle for fully coupled forward-backward stochastic control system with state constraints
• A type of general forward-backward stochastic differential equations and applications
• Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
• LQ control of forward and backward stochastic difference system
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems
• The maximum principle for stochastic control problem with jumps in progressive structure
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
• The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
• Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
• Global maximum principle for partially observed risk-sensitive progressive optimal control of fbsde with Poisson jumps
• Well-posedness and comparison theorems of coupled mean-field forward-backward stochastic differential equations
• Stochastic maximum principle for fully coupled nonlinear FBSEs under generalized monotonicity and LQ control applications
• Discrete-time stochastic recursive optimal control under constraints and application to finance
• Path-dependent controlled mean-field coupled forward-backward SDEs: the associated stochastic maximum principle
• A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications
• The optimal control problem of fully coupled FBSDEs driven by sub-diffusion with applications
• The stochastic maximum principle for mean-field relaxed control problem with regime-switching
• Optimal control of a class of fully coupled forward-backward stochastic partial differential equations
• Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
• Near-relaxed control problem of fully coupled forward-backward doubly system
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems

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