scientific article; zbMATH DE number 3797647
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Publication:4742671
zbMATH Open0505.93078MaRDI QIDQ4742671FDOQ4742671
Authors: Alain Bensoussan
Publication date: 1982
Title of this publication is not available (Why is that?)
Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)
Cited In (only showing first 100 items - show all)
- Evolutionary variational inequalities with a volterra term
- Second-order necessary conditions for optimal control with recursive utilities
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games
- Stochastic equilibrium discounting
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- Adapted solution of a backward stochastic differential equation
- On solutions of backward stochastic differential equations with jumps and applications
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- Existence of value in stochastic differential games of mixed type
- A maximum principle for SDEs of mean-field type
- General strongly nonlinear variational inequalities
- Finite Element Methods for Parabolic Variational Inequalities with a Volterra Term
- Impulse control of stochastic Navier-Stokes equations
- Generalized nonlinear mixed quasi-variational inequalities
- Mann and Ishikawa type perturbed iterative algorithms for generalized nonlinear implicit quasi-variational inclusions
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Some results on pointwise second-order necessary conditions for stochastic optimal controls
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Attainable contingent claims in a Markovian regime-switching market
- Backward stochastic differential equations with constraints on the gains-process
- Existence and uniqueness of solutions to a class of stochastic partial differential equations
- Concepts and methods for discrete and continuous time control under uncertainty
- Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
- Premium allocation and risk avoidance in a large firm: A continuous model
- The optimal control of diffusions
- ``Minimum toll control of diffusions
- Divergence of neighbouring optimal state trajectories of a dynamic system
- Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
- On the Bellman's principle of optimality
- Optimality conditions for partial information stochastic control problems driven by Lévy processes
- Backward doubly stochastic equations with jumps and comparison theorems
- The relaxed general maximum principle for singular optimal control of diffusions
- Optimal control for one-phase Stefan problem with random emission
- A new completely general class of variational inclusions with noncompact valued mappings
- Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- Stochastic maximum principle in the mean-field controls
- Stochastic hybrid control
- A free boundary problem related to singular stochastic control: the parabolic case
- Stochastic linear quadratic optimal control problems in infinite horizon
- Ergodic control in stochastic manufacturing systems with constant demand
- The utility of manufacturing cooperatives
- Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
- Generalized nonlinear variational inclusions with noncompact valued mappings
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Random generalized nonlinear variational inclusions for random fuzzy mappings
- Backward stochastic differential equations coupled with value function and related optimal control problems
- On the convergence of the Sakawa-Shindo algorithm in stochastic control
- Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
- Approximation and optimality necessary conditions in relaxed stochastic control problems
- Stochastic maximum principle for nonlinear optimal control problem of switching systems
- Sensitivity analysis for strongly nonlinear quasi-variational inclusions
- The maximum principle for the nonlinear stochastic optimal control problem of switching systems
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- On the generalized implicit quasivariational inequalities
- On backward stochastic evolution equations in Hilbert spaces and optimal control
- Approximate controllability of backward stochastic evolution equations in Hilbert spaces
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
- Stochastic control theory and operational research
- Pricing of perpetual American options in a model with partial information
- Maximum principles for boundary-degenerate second order linear elliptic differential operators
- Optimal multiple trading times under the exponential OU model with transaction costs
- Forward and backward mean-field stochastic partial differential equation and optimal control
- Control of partially observed diffusions
- A general maximum principle for optimal control of forward-backward stochastic systems
- Adapted solution of a backward semilinear stochastic evolution equation
- Asymptotics in quasi-variational inequalities and ergodic control problems
- A stochastic maximum principle in mean-field optimal control problems for jump diffusions
- Existence Results for Nonproper Elliptic Equations Involving the Pucci Operator
- L∞-error estimate for the numerical treatment of the obstacle problem by the penalty method
- ATTAINABLE CLAIMS IN A MARKOV MARKET
- A partially observed control problem for Markov chains
- Optimal control of semilinear stochastic evolution equations
- Optimal control of ultradiffusion processes with application to mathematical finance
- Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
- Analytic expansion of the lyapunov exponent associated to the SchrÖDinger operator with random potential
- Representation formula for viscosity solution to a PDE problem involving Pucci's extremal operator
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
- The stochastic maximum principle for relaxed control problem with regime-switching
- A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
- Singular optimal control problems with recursive utilities of mean-field type
- Asymptotic analysis of variational inequalities with applications to optimum design in elasticity
- Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
- The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
- Optimal control for n-person differential stochastic inclusions
- The mean squared loss control problem for a partially observed Markov chain
- Large Critical Exponents for Some Second Order Uniformly Elliptic Operators
- On the numerical analysis of a nonlinear elliptic problem via mixed-FEM and Lagrange multi\-pliers.
- Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
- Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
- General strongly nonlinear variational inequalities for multifunctions
- The relaxed stochastic maximum principle in singular optimal control of jump diffusions
- Pontryagin's maximum principle for optimal control of stochastic SEIR models
- Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
- Nested variational inequalities and related optimal multiple startingstopping problems for symmetric Markov processes
- A system of parabolic variational inequalities associated with a stochastic switching game
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