A general maximum principle for optimal control of forward-backward stochastic systems

DOI10.1016/J.AUTOMATICA.2013.02.005zbMATH Open1321.49041OpenAlexW2037349991MaRDI QIDQ490631FDOQ490631

Authors: Zhen Wu 

Publication date: 27 August 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.02.005

Recommendations

• Stochastic maximum principle for optimal control problem of forward and backward system
• A general maximum principle for forward-backward stochastic control systems of mean-field type
• A General Stochastic Maximum Principle for Optimal Control Problems
• A maximum principle for general backward stochastic differential equation
• scientific article; zbMATH DE number 1343080

zbMATH Keywords

maximum principlebackward stochastic differential equationstochastic optimal controllinear-quadratic optimal controlforward-backward stochastic control system

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• A General Stochastic Maximum Principle for Optimal Control Problems
• Title not available (Why is that?)
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
• Adapted solution of a backward stochastic differential equation
• A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
• Stochastic controls with terminal contingent conditions
• Linear-quadratic control of backward stochastic differential equations
• The Maximum Principle for Optimal Control of Diffusions with Partial Information
• Nonconvex minimization problems
• Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
• Title not available (Why is that?)
• Backward stochastic differential equations and applications to optimal control
• Open problems on backward stochastic differential equations
• A maximum principle for partially observed optimal control of forward-backward stochastic control systems
• A maximum principle for stochastic control systems
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Existence of optimal controls for systems driven by FBSDEs
• Stochastic maximum principle for optimal control problem of forward and backward system
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
• Title not available (Why is that?)
• A partial information non-zero sum differential game of backward stochastic differential equations with applications
• A maximum principle for partial information backward stochastic control problems with applications
• A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
• Near-optimal control problems for linear forward-backward stochastic systems

Cited In (71)

• Second-order necessary conditions for optimal control with recursive utilities
• A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
• A global stochastic maximum principle for fully coupled forward-backward stochastic systems
• Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• Backward-forward linear-quadratic mean-field games with major and minor agents
• Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
• Maximum principle for discrete-time stochastic optimal control problem and stochastic game
• Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
• Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
• Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
• The stochastic maximum principle in singular optimal control with recursive utilities
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
• Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
• General linear forward and backward stochastic difference equations with applications
• A class of optimal control problems of forward-backward systems with input constraint
• Forward-backward stochastic differential equation games with delay and noisy memory
• Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
• Maximum likelihood based recursive parameter estimation for controlled autoregressive ARMA systems using the data filtering technique
• Maximum principle for stochastic recursive optimal control problem under model uncertainty
• Global maximum principle for the forward--backward stochastic optimal control problem with Poisson jumps
• Stochastic global maximum principle for optimization with recursive utilities
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
• Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
• Stochastic maximum principle for systems driven by local martingales with spatial parameters
• A stochastic maximum principle for linear quadratic problem with nonconvex control domain
• Singular optimal controls for stochastic recursive systems under convex control constraint
• A General Stochastic Maximum Principle for Optimal Control Problems
• A maximum principle for fully coupled stochastic control systems of mean-field type
• A maximum principle for general backward stochastic differential equation
• A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• A general maximum principle for forward-backward stochastic control systems of mean-field type
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
• Near-optimal control of stochastic recursive systems via viscosity solution
• The maximum principle for partially observed optimal control problems of mean-field FBSDEs
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• Necessary condition for optimal control of doubly stochastic systems
• Necessary condition for near optimal control of linear forward-backward stochastic differential equations
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
• Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes
• Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
• Mean-field type games between two players driven by backward stochastic differential equations
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
• A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
• The \(H_{\infty}\) control for bilinear systems with Poisson jumps
• Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
• Near-optimal control problems for forward-backward regime-switching systems
• A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
• LQ control of forward and backward stochastic difference system
• Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
• Explicit solution to delayed forward and backward stochastic differential equations
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• A priori estimates of the objective function in the speed-in-action problem for a linear two-dimensional discrete-time system
• Stochastic maximum principle for discrete time mean‐field optimal control problems
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• Control of time-varying systems based on forward Riccati formulation in hybrid functions domain
• Stochastic Maximum Principle for Subdiffusions and Its Applications
• A Global Optimality Principle for Fully Coupled Mean-field Control Systems
• A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• The general maximum principle for discrete-time stochastic control problems
• Second-order necessary condition for partially observed stochastic system with random jumps

This page was built for publication: A general maximum principle for optimal control of forward-backward stochastic systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q490631)