Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application

MaRDI QIDQ4639873zbMATH OpenFDO

Authors Adel Chala

Publication date 14 May 2018

Full work available at URL http://www.jnmas.org/jnmas9-4.pdf

zbMATH Keywords

backward stochastic differential equationslogarithmic transformationrisk-sensitivesufficient optimality conditionsvariational principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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(8)

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• An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
• On the singular risk-sensitive stochastic maximum principle
• scientific article; zbMATH DE number 7112810 (Why is no real title available?)
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
• A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications
• On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application

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