A general maximum principle for optimal control of forward-backward stochastic systems
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maximum principlebackward stochastic differential equationstochastic optimal controllinear-quadratic optimal controlforward-backward stochastic control system
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)
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- scientific article; zbMATH DE number 1343080
Cites work
- scientific article; zbMATH DE number 3644017 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3797647 (Why is no real title available?)
- A General Stochastic Maximum Principle for Optimal Control Problems
- A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
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- Nonconvex minimization problems
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- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Stochastic controls with terminal contingent conditions
- Stochastic maximum principle for optimal control problem of forward and backward system
- The Maximum Principle for Optimal Control of Diffusions with Partial Information
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- Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
- Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
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- A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
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- Global maximum principle for the forward--backward stochastic optimal control problem with Poisson jumps
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- Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
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- Control of time-varying systems based on forward Riccati formulation in hybrid functions domain
- Stochastic maximum principle for systems driven by local martingales with spatial parameters
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
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- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
- The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
- The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
- 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
- Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
- Necessary condition for optimal control of doubly stochastic systems
- The maximum principle for partially observed optimal control problems of mean-field FBSDEs
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
- The general maximum principle for discrete-time stochastic control problems
- Second-order necessary condition for partially observed stochastic system with random jumps
- 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
- Mean-field type games between two players driven by backward stochastic differential equations
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
- 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
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