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On the Stochastic Maximum Principle
5 references·1 citing·26 second hop
On the Stochastic Maximum Principle (1978)On the Stochastic Maximum PrincipleFunctionals of Itô Processes as Stochastic Integrals (1978)Functionals of Itô Processes …Full “Bang” to Reduce Predicted Miss is Optimal (1976)Full “Bang” to Reduce Predict…Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Necessary Conditions for Cont…The Representation of Functionals of Brownian Motion by Stochastic Integrals (1970)The Representation of Functio…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…The maximum principle for optimal control of diffusions with non-smooth coefficients (1996)The maximum principle for opt…Stochastic Calculus and Stochastic Models (1974)Martingales, the Malliavin calculus and Hörmander's theorem (1981)On the Adjoint Process for Optimal Control of Diffusion Processes (1981)A guide to the stochastic calculus of variations (2006)Controlled Diffusion Processes (1980)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients (2007)Optimality necessary conditions in singular stochastic control problems with nonsmooth data (2009)Multiple Wiener Integral (1951)On stochastic differential equations (1951)On Square Integrable Martingales (1967)Martingales and stochastic integrals in the theory of continuous trading (1981)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Stochastic Differential Utility (1992)On the stochastic maximum principle: Fixed time of control (1965)On the stochastic maximum principle (1968)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)On a Formula Concerning Stochastic Differentials (1951)Martingales and arbitrage in multiperiod securities markets (1979)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Existence of Optimal Stochastic Control Laws (1971)Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control (1977)On “predicted miss” stochastic control problems (1979)
this work references cited by second hop

References

  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures731 cited
  • 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems322 cited
  • 1970The Representation of Functionals of Brownian Motion by Stochastic Integrals233 cited
  • 1978Functionals of Itô Processes as Stochastic Integrals39 cited
  • 1976Full “Bang” to Reduce Predicted Miss is Optimal31 cited

Cited by

  • 1996The maximum principle for optimal control of diffusions with non-smooth coefficients18 cited

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