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Sufficient Stochastic Maximum Principle for Discounted Control Problem · Study

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ArticleSufficient Stochastic Maximum Principle for Discounted Control Problem

Bohdan Maslowski2014

Article2014

Sufficient Stochastic Maximum Principle for Discounted Control Problem

Bohdan Maslowski · Petr Veverka

26 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

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References

1990Adapted solution of a backward stochastic differential equation 1999Stochastic Controls 1999Stochastic controls : Hamiltonian systems and HJB equations 1976Stochastic Differential Equations and Applications 1980Controlled Diffusion Processes 2009Continuous-time Stochastic Control and Optimization with Financial Applications 1990A General Stochastic Maximum Principle for Optimal Control Problems 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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2023On the Maximum Principle for Optimal Control Problems of Stochastic Volterra Integral Equations with Delay

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Year2014

Typearticle

Published2014-02-10

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-014-9241-9

openalex_workW2038109231

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