Maximum principle for stochastic recursive optimal control problems involving impulse controls
From MaRDI portal
Publication:448783
Recommendations
- Maximum principle for optimal control problems involving impulse controls with nonsmooth data
- scientific article; zbMATH DE number 62572
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- The stochastic maximum principle in singular optimal control with recursive utilities
- Stochastic global maximum principle for optimization with recursive utilities
Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1343080 (Why is no real title available?)
- A General Stochastic Maximum Principle for Optimal Control Problems
- A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
- A general stochastic maximum principle for singular control problems
- A maximum principle for partial information backward stochastic control problems with applications
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and applications to optimal control
- Impulse Control Method and Exchange Rate
- Maximum Principle for Singular Stochastic Control Problems
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- PDE solutions of stochastic differential utility
- Portfolio Selection with Transaction Costs
- Some applications of impulse control in mathematical finance
- Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls
- Stochastic maximum principle for optimal control problem of forward and backward system
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- The stochastic maximum principle for a singular control problem
- The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
Cited in
(13)- Infinite horizon backward stochastic Volterra integral equations and discounted control problems
- Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
- scientific article; zbMATH DE number 62572 (Why is no real title available?)
- Sufficient stochastic maximum principle for discounted control problem
- Continuity of the value function for deterministic optimal impulse control with terminal state constraint
- Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
- scientific article; zbMATH DE number 7038793 (Why is no real title available?)
- Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
- Maximum principle for optimal control problems involving impulse controls with nonsmooth data
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- A tutorial on the deterministic impulse control maximum principle: necessary and sufficient optimality conditions
- Necessary stochastic maximum principle for dissipative systems on infinite time horizon
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
This page was built for publication: Maximum principle for stochastic recursive optimal control problems involving impulse controls
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q448783)
