Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1343080 (Why is no real title available?)
- scientific article; zbMATH DE number 7618765 (Why is no real title available?)
- A General Stochastic Maximum Principle for Optimal Control Problems
- A general maximum principle for optimal control of forward-backward stochastic systems
- A general stochastic maximum principle for singular control problems
- Analysis of the optimal relaxed control to an optimal control problem
- Backward stochastic differential equations and applications to optimal control
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
- Necessary and sufficient conditions of optimality for optimal control problems of forward and backward systems
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- Sequential decisions in the control of a space-ship (finite fuel)
- Singular Optimal Stochastic Controls I: Existence
- Singular Optimal Stochastic Controls II: Dynamic programming
- Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
- Some solvable stochastic control problemst†
- Stochastic maximum principle for optimal control problem of forward and backward system
- The stochastic maximum principle for a singular control problem
- The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
Cited in
(11)- Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
- Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer
- Mixed optimal control of forward-backward stochastic system
- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- On existence and uniqueness of random impulsive differential equations
- On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
- Maximum principle via Malliavin calculus for regular-singular stochastic differential games
- The stochastic maximum principle for a singular control problem
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
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