The second order minimum principle and adjoint process

DOI10.1080/17442509408833867MaRDI QIDQ4840912zbMATH OpenOpenAlexWikidataFDO

Authors Robert J. Elliott, Michael Kohlmann

Publication date 31 October 1995

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833867

zbMATH Keywords

adjoint processbackward stochastic differential equationsdiffusionexistence and uniqueness resultsMalliavin matrixminimum principlestochastic flow

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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(17)

• Optimal control of diffusions: A verification theorem for viscosity solutions
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• The optimal control of diffusions
• Optimality conditions of controlled backward doubly stochastic differential equations
• A mean-field stochastic maximum principle via Malliavin calculus
• Adjoint processes in stochastic optimal control problems
• On the Minimum Principle for Controlled Diffusions on Manifolds
• Minimal realizations interpolating first- and second-order information
• A general optimality conditions for stochastic control problems of jump diffusions
• Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations
• The Partially Observed Stochastic Minimum Principle
• scientific article; zbMATH DE number 4117324 (Why is no real title available?)
• Robust optimal control for minimax stochastic linear quadratic problem
• Robust stochastic maximum principle for multi-model worst case optimization
• Stochastic maximum principle for delayed doubly stochastic control systems and their applications
• Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
• A proof of the minimum principle using flows

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