The second order minimum principle and adjoint process

DOI10.1080/17442509408833867zbMATH Open0824.60051OpenAlexW2075814052WikidataQ126240331 ScholiaQ126240331MaRDI QIDQ4840912FDOQ4840912

Authors: Robert J. Elliott, Michael Kohlmann 

Publication date: 31 October 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833867

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zbMATH Keywords

diffusionbackward stochastic differential equationsadjoint processstochastic flowminimum principleexistence and uniqueness resultsMalliavin matrix

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited In (16)

• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
• Robust stochastic maximum principle for multi-model worst case optimization
• A general optimality conditions for stochastic control problems of jump diffusions
• Minimal realizations interpolating first- and second-order information
• Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations
• Stochastic maximum principle for delayed doubly stochastic control systems and their applications
• On the Minimum Principle for Controlled Diffusions on Manifolds
• Robust optimal control for minimax stochastic linear quadratic problem
• Optimal control of diffusions: A verification theorem for viscosity solutions
• Adjoint processes in stochastic optimal control problems
• A mean-field stochastic maximum principle via Malliavin calculus
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• A proof of the minimum principle using flows
• The Partially Observed Stochastic Minimum Principle
• Optimality conditions of controlled backward doubly stochastic differential equations

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