Pages that link to "Item:Q4698801"

The following pages link to The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (Q4698801):

Displaying 42 items.

• A stochastic maximum principle with dissipativity conditions (Q255511) (← links)
• Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation (Q262025) (← links)
• On the convergence of the Sakawa-Shindo algorithm in stochastic control (Q326797) (← links)
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (Q360987) (← links)
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462) (← links)
• A general optimality conditions for stochastic control problems of jump diffusions (Q434355) (← links)
• First and second order necessary conditions for stochastic optimal control problems (Q442561) (← links)
• Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations (Q448266) (← links)
• Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (Q450712) (← links)
• A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (Q604807) (← links)
• A general stochastic maximum principle for SDEs of mean-field type (Q649117) (← links)
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem (Q691358) (← links)
• Optimality conditions for partial information stochastic control problems driven by Lévy processes (Q694793) (← links)
• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes (Q848401) (← links)
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data (Q1022953) (← links)
• Asset and commodity prices with multi-attribute durable goods (Q1351930) (← links)
• Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (Q1379951) (← links)
• Sensitivity analysis for expected utility maximization in incomplete Brownian market models (Q1648899) (← links)
• Backward-forward SDE's and stochastic differential games (Q1805788) (← links)
• A stochastic maximum principle for systems with jumps, with applications to finance. (Q1853443) (← links)
• Curve following in illiquid markets (Q1932555) (← links)
• Stochastic maximum principle in the mean-field controls (Q1941259) (← links)
• Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise (Q2274261) (← links)
• Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models (Q2340989) (← links)
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients (Q2480787) (← links)
• Optimal investment and risk control policies for an insurer: expected utility maximization (Q2513618) (← links)
• Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (Q2514637) (← links)
• Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model (Q2698613) (← links)
• LINKED RECURSIVE PREFERENCES AND OPTIMALITY (Q2788691) (← links)
• A stochastic maximum principle for backward control systems with random default time (Q2871780) (← links)
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (Q2937458) (← links)
• Sensitivity results in stochastic optimal control: A Lagrangian perspective (Q2963496) (← links)
• The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients (Q3077685) (← links)
• Optimality conditions of controlled backward doubly stochastic differential equations (Q3103223) (← links)
• Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games (Q3384670) (← links)
• Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (Q4610156) (← links)
• Bellman equations for scalar linear convex stochastic control problems (Q4989144) (← links)
• A stochastic maximum principle for backward control systems with random default time (Q5022829) (← links)
• Dynamic convex duality in constrained utility maximization (Q5086461) (← links)
• Stochastic maximum principle for delayed doubly stochastic control systems and their applications (Q5113301) (← links)
• Brief history of optimal control theory and some recent developments (Q5225285) (← links)
• Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems (Q5265925) (← links)