scientific article; zbMATH DE number 3797648

zbMATH Open0505.93079MaRDI QIDQ4742672FDOQ4742672

Authors: Alain Bensoussan 

Publication date: 1982

Title of this publication is not available (Why is that?)

zbMATH Keywords

Bellman equationcontrolled diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming (90C39) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Cited In (29)

• Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application
• Second-order Taylor expansion for backward doubly stochastic control system
• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
• Title not available (Why is that?)
• Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
• Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
• An efficient gradient projection method for stochastic optimal control problems
• Backward-forward SDE's and stochastic differential games
• Existence of Lagrange multipliers under Gâteaux differentiable data with applications to stochastic optimal control problems
• Brief history of optimal control theory and some recent developments
• Necessary and sufficient conditions of optimal control for infinite dimensional SDEs
• An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
• The relaxed optimal control problem for mean-field SDEs systems and application
• Infinite horizon optimal control problems of backward stochastic delay differential equations in Hilbert spaces
• Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
• Stochastic maximum principle for square-integrable optimal control of linear stochastic systems
• A stochastic maximum principle for linear quadratic problem with nonconvex control domain
• Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions
• A global maximum principle for stochastic optimal control problems with delay and applications
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• First and second order necessary conditions for stochastic optimal controls
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• Some results on backward stochastic differential equations of fractional order
• Stochastic maximum principle for optimal control problem with a stopping time cost functional
• Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
• Optimal control for controllable stochastic linear systems

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