On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth

DOI10.1137/050633548MaRDI QIDQ5294585zbMATH OpenOpenAlexFDO

Authors Marco Fuhrman, Ying Hu, Gianmario Tessitore

Publication date 25 July 2007

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2434/661818

zbMATH Keywords

backward stochastic differential equationsstochastic optimal control

Mathematics Subject Classification ID

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

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Cited in

(19)

• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
• A Bismut-Elworthy formula for quadratic BSDEs
• BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
• A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
• HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
• A probabilistic weak formulation of mean field games and applications
• Backward stochastic viability and related properties on \(Z\) for BSDEs with applications
• Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators
• Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional
• Optimal control problem for stochastic evolution equations in Hilbert spaces
• Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces
• scientific article; zbMATH DE number 6013731 (Why is no real title available?)
• On a Class of Quadratic Growth RBSDE with Jumps and Its Application
• Stochastic control and BSDEs with quadratic growth
• Stochastic optimal control and BSDEs with logarithmic growth
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
• Stochastic verification theorem for semilinear infinite dimensional stochastic control systems
• Quadratic BSDEs with convex generators and unbounded terminal conditions

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