On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
DOI10.3934/EECT.2020035zbMATH Open1455.91216OpenAlexW3013762108MaRDI QIDQ827656FDOQ827656
Authors: Adel Chala, Dahbia Hafayed 
Publication date: 13 January 2021
Published in: Evolution Equations and Control Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/eect.2020035
Recommendations
- Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
mean-varianceoptimal controlstochastic maximum principlevariational principlelogarithmic transformationrisk-sensitivefully coupled forward-backward stochastic differential equation of mean-field type
Actuarial mathematics (91G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Cites Work
- Mean field games
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- A mean-field stochastic maximum principle via Malliavin calculus
- Title not available (Why is that?)
- Title not available (Why is that?)
- A general stochastic maximum principle for SDEs of mean-field type
- Mean field forward-backward stochastic differential equations
- Stochastic maximum principle in the mean-field controls
- A maximum principle for SDEs of mean-field type
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
- A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- A new risk-sensitive maximum principle
- A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
- An axiomatic approach to the valuation of cash flows
- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
- An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
- Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
- Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
Cited In (9)
- A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
- Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
- Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
This page was built for publication: On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q827656)
