scientific article; zbMATH DE number 5259916

MaRDI QIDQ5453066zbMATH OpenFDO

Authors Zhitao Li, Guangchen Wang, Chao Mu

Publication date 4 April 2008

zbMATH Keywords

optimal controlportfolio choicelocal necessary condition

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Recommendations

• Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
• Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• Necessary condition for near optimal control of linear forward-backward stochastic differential equations
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• scientific article; zbMATH DE number 3845483
• Approximation and optimality necessary conditions in relaxed stochastic control problems
• Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs

Cited in

(1)

• Necessary condition for optimal protfolio problem

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5453066)