scientific article; zbMATH DE number 3797647

zbMATH Open0505.93078MaRDI QIDQ4742671FDOQ4742671

Publication date: 1982

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stochastic maximum principle controlled diffusions

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
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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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