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General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
10 references·3 citing·37 second hop
General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions (2014)General Pontryagin-Type Stochastic Maximu…Stochastic integration in UMD Banach spaces (2007)Stochastic integration in UMD…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Forward-Backward Stochastic Differential Equations and Their Applications (1999)Forward-Backward Stochastic D…On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations (1993)On the Necessary Conditions o…Adapted solution of a backward semilinear stochastic evolution equation (1991)Adapted solution of a backwar…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …An Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…General necessary conditions for optimal control of stochastic systems (1976)General necessary conditions …Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Necessary Conditions for Cont…Maximum principle for discrete-time stochastic control problem of mean-field type (2022)Maximum principle for discret…Maximum principle for discrete-time stochastic optimal control problem and stochastic game (2021)Maximum principle for discret…Stochastic maximum principle for optimal control of SPDEs (2012)Stochastic maximum principle …On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Existence of Optimal Stochastic Control Laws (1971)The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints (1978)The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)Infinite horizon forward–backward stochastic differential equations (2000)Stochastic partial differential equations and filtering of diffusion processes (1980)Lectures on stochastic control (1982)On linear, degenerate backward stochastic partial differential equations (1999)Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (2013)Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information (2013)Adapted solution of a backward stochastic differential equation (1990)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Maximum Principle for Optimal Control of SPDEs (2013)Introduction to Stochastic Integration (1983)Introduction to Stochastic Integration (1990)Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation (2008)A mild Itô formula for SPDEs (2018)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)Stochastic Hamilton–Jacobi–Bellman Equations (1992)A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)Backward stochastic differential equations and applications to optimal control (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)A numerical scheme for BSDEs (2004)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)
this work references cited by second hop

References

  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems322 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 2007Stochastic integration in UMD Banach spaces194 cited
  • 1991Adapted solution of a backward semilinear stochastic evolution equation172 cited
  • 1993On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations121 cited
  • 1976General necessary conditions for optimal control of stochastic systems115 cited

Cited by

  • 2012Stochastic maximum principle for optimal control of SPDEs31 cited
  • 2021Maximum principle for discrete-time stochastic optimal control problem and stochastic game30 cited
  • 2022Maximum principle for discrete-time stochastic control problem of mean-field type30 cited

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