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Existence of optimal controls for systems driven by FBSDEs
16 references·0 citing·36 second hop
Existence of optimal controls for systems driven by FBSDEs (2011)Existence of optimal controls for systems…Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions (2010)Optimality Variational Princi…Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs (2009)Necessary and sufficient cond…Near-optimal control problems for linear forward–backward stochastic systems (2009)Near-optimal control problems…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Existence of optimal markovian controls for degenerate diffusions (2006)Existence of optimal markovia…A dynamic maximum principle for the optimization of recursive utilities under constraints (2001)A dynamic maximum principle f…Stochastic Controls (1999)Stochastic ControlsStochastic Controls with Terminal Contingent Conditions (1999)Stochastic Controls with Term…Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Fully Coupled Forward-Backwar…Forward-Backward Stochastic Differential Equations and Their Applications (1999)Forward-Backward Stochastic D…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…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…Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Compactification methods in t…Tightness criteria for laws of semimartingales (1984)Tightness criteria for laws o…Existence results for optimal stochastic controls (1975)Existence results for optimal…A General Stochastic Maximum Principle for Optimal Control Problems (1990)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)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Backward stochastic Volterra integral equations and some related problems (2006)Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2006)Brownian Motion and Stochastic Calculus (2007)Controlled Diffusion Processes (1980)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Ergodic Control of Diffusion Processes (2011)A general characterization of the mean field limit for stochastic differential games (2015)Mean field games with common noise (2016)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)Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case (1996)Backward SDEs with constrained jumps and quasi-variational inequalities (2010)Weak and strong solutions of general stochastic models (2014)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)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)
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic Controls1,243 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control494 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 1987Compactification methods in the control of degenerate diffusions: existence of an optimal control231 cited
  • 1984Tightness criteria for laws of semimartingales177 cited
  • 2001A dynamic maximum principle for the optimization of recursive utilities under constraints155 cited
  • 2010Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions139 cited
  • 1999Stochastic Controls with Terminal Contingent Conditions100 cited
  • 1975Existence results for optimal stochastic controls59 cited
  • 2009Near-optimal control problems for linear forward–backward stochastic systems52 cited

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2006
Existence of optimal markovian controls for degenerate diffusions
41 cited
  • 2009Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs34 cited
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