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Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint
8 references·0 citing·31 second hop
Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint (2015)Pointwise Second-order Necessary Conditio…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Lectures in stochastic control (1983)Lectures in stochastic controlAn 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…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)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)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Controlled Diffusion Processes (1980)Stochastic Control by Functional Analysis Methods (1982)Adapted solution of a backward semilinear stochastic evolution equation (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Stochastic maximum principle in the mean-field controls (2011)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)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)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)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems322 cited
  • 1983Lectures in stochastic control172 cited
  • 1976General necessary conditions for optimal control of stochastic systems115 cited

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