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Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
9 references·1 citing·33 second hop
Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs (2009)Necessary and sufficient conditions for n…Stochastic Controls with Terminal Contingent Conditions (1999)Stochastic Controls with Term…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Fully Coupled Forward-Backwar…Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality (1998)Stochastic Near-Optimal Contr…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Stochastic maximum principle for optimal control problem of forward and backward system (1995)Stochastic maximum principle …Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…The variational principle and stochastic optimal control (1980)The variational principle and…Existence of optimal controls for systems driven by FBSDEs (2011)Existence of optimal controls…Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Optimal control of production rate in a failure prone manufacturing system (1986)A General Stochastic Maximum Principle for Optimal Control Problems (1990)The Steepest Descent Method for Forward-Backward SDEs (2005)Approximation and optimality necessary conditions in relaxed stochastic control problems (2006)Near-optimal control problems for linear forward–backward stochastic systems (2009)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Backward-Forward Stochastic Differential Equations (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)The Optimal Control of a Stochastic System (1977)Optimal Play in a Stochastic Differential Game (1981)Quasi-least-squares estimation in semimartingale regression models (1986)A PDE approach for risk measures for derivatives with regime switching (2007)Stochastic Controls (1999)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Stochastic Differential Equations and Diffusion Processes (1983)A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications (2009)Maximum principle for forward-backward stochastic control system with random jumps and applications to finance (2010)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)On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Probabilistic Analysis of Mean-Field Games (2013)A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications (2010)Stochastic global maximum principle for optimization with recursive utilities (2017)A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems (2018)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control494 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1995Stochastic maximum principle for optimal control problem of forward and backward system114 cited
  • 1999Stochastic Controls with Terminal Contingent Conditions100 cited
  • 1998Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality90 cited
  • 1980The variational principle and stochastic optimal control49 cited

Cited by

  • 2011Existence of optimal controls for systems driven by FBSDEs30 cited

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