Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

Cited In (only showing first 100 items - show all)

Stochastic Optimal Control Problems with Control and Initial-Final States Constraints
Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
Second-order necessary conditions for optimal control with recursive utilities
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Stochastic linear quadratic control problem of switching systems with constraints
Maximum principle for stochastic control in continuous time with hard end constraints
Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
Practical algorithm for stochastic optimal control problem about microbial fermentation in batch culture
The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
On the integral representation of functionals of ltd processest
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
Adapted solution of a backward stochastic differential equation
A general stochastic maximum principle for SDEs of mean-field type
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
Lagrange approach to the optimal control of diffusions
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
Maximum principle for mean-field SDEs under model uncertainty
Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
Necessary conditions for optimality for a diffusion with a non-smooth drift
Controlled mean-field backward stochastic differential equations with jumps involving the value function
An algorithm for solving a stochastic control problem
Stochastic maximum principle for distributed parameter systems
Maximum principle for forward-backward doubly stochastic control systems and applications
Robust stochastic maximum principle for multi-model worst case optimization
Some results on pointwise second-order necessary conditions for stochastic optimal controls
First and second order necessary conditions for stochastic optimal control problems
Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint
A risk-sensitive maximum principle
The optimal control of diffusions
Stochastic controls with terminal contingent conditions
A general optimality conditions for stochastic control problems of jump diffusions
Optimality conditions for partial information stochastic control problems driven by Lévy processes
Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
Backward doubly stochastic equations with jumps and comparison theorems
Impulse control of a diffusion with a change point
Lagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionals
Risk-sensitivity, large deviations and stochastic control
Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems
Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations
Stochastic maximum principle for weighted mean-field system
Stochastic maximum principle in the mean-field controls
Sufficient and necessary conditions for stochastic near-optimal controls: a stochastic chemostat model with non-zero cost inhibiting
A necessary condition of optimality for uncertain optimal control problem
Stochastic convex programming: Kuhn-Tucker conditions
An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
On existence and uniqueness of solutions to uncertain backward stochastic differential equations
Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
The relaxed optimal control problem for mean-field SDEs systems and application
Sufficient stochastic maximum principle for discounted control problem
Backward stochastic differential equations coupled with value function and related optimal control problems
On the convergence of the Sakawa-Shindo algorithm in stochastic control
Stochastic maximum principle for nonlinear optimal control problem of switching systems
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
Infinite horizon forward-backward stochastic differential equations
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems
On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems
Optimality necessary conditions in singular stochastic control problems with nonsmooth data
Exponential stabilization of stochastic interval system with time dependent parameters
A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
Maximum principle of discrete stochastic control system driven by both fractional noise and white noise
A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
Stabilization in probability and mean square of controlled stochastic dynamical system with state delay
Backward stochastic differential equations and applications to optimal control
Adapted solution of a backward semilinear stochastic evolution equation
First and second order necessary conditions for stochastic optimal controls
A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
New approach to stochastic optimal control
The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
A partially observed control problem for Markov chains
Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
Optimal control of diffusions with hard terminal state restrictions
Maximum principle of stochastic controlled systems of functional type
Second-order Taylor expansion for backward doubly stochastic control system
Spike Variations for Stochastic Volterra Integral Equations
Duality and sensitivity analysis of multistage linear stochastic programs
The stochastic maximum principle for relaxed control problem with regime-switching
Maximum principle for forward–backward SDEs with a general cost functional
Second-order Taylor expansion for backward doubly stochastic control system
A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
Singular optimal control problems with recursive utilities of mean-field type
On mean-field control problems for backward doubly stochastic systems
Necessary and sufficient conditions for near‐optimal controls of a stochastic West Nile virus system with spatial diffusion
The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
Derivation and application of quantum Hamilton equations of motion
Parameter sensitivity in stochastic optimal control^∗
Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
A general maximum principle for discrete fractional stochastic control system of mean-field type
A necessary condition for optimality in a problem of stochastic control with discretized observations
A stochastic maximum principle for partially observed general mean-field control problems with only weak solution
Pontryagin's maximum principle for optimal control of stochastic SEIR models
Brief history of optimal control theory and some recent developments
Necessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equations

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