Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

Stochastic Analysis and Applications ◽

10.1080/07362994.2012.727138 ◽

2012 ◽

Vol 30 (6) ◽

pp. 997-1018 ◽

Author(s):

Jingtao Shi ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Risk Sensitive ◽

Stochastic Optimal Control Problem

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Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes

Applied Mathematics-A Journal of Chinese Universities ◽

10.1007/s11766-014-3171-9 ◽

2014 ◽

Vol 29 (1) ◽

pp. 67-85 ◽

Author(s):

Na Li ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Lévy Processes ◽

Levy Processes ◽

Stochastic Optimal Control Problem

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Maximum principle for stochastic optimal control problem of forward-backward system with delay

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5400152 ◽

2009 ◽

Author(s):

Li Chen ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

System With Delay ◽

Stochastic Optimal Control Problem

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Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems

International Journal of Control ◽

10.1080/00207179.2021.1889033 ◽

2021 ◽

pp. 1-14

Author(s):

Shaolin Ji ◽

Haodong Liu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Difference Systems ◽

Stochastic Optimal Control Problem

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Maximum principle for the stochastic optimal control problem with delay and application

10.1016/j.automatica.2010.03.005 ◽

2010 ◽

Vol 46 (6) ◽

pp. 1074-1080 ◽

Author(s):

Li Chen ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps

Asian Journal of Control ◽

10.1002/asjc.443 ◽

2011 ◽

Vol 14 (5) ◽

pp. 1355-1365 ◽

Author(s):

Jingtao Shi

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Global Maximum ◽

Poisson Jumps ◽

Stochastic Optimal Control Problem

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Maximum Principle for Stochastic Optimal Control Problem with Distributed Delays

Acta Mathematica Scientia ◽

10.1007/s10473-021-0208-z ◽

2021 ◽

Vol 41 (2) ◽

pp. 437-449

Author(s):

Qixia Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Distributed Delays ◽

Stochastic Optimal Control Problem

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Maximum Principle for a Stochastic Optimal Control Problem and Application to Portfolio/Consumption Choice

Journal of Optimization Theory and Applications ◽

10.1023/a:1022636332265 ◽

1998 ◽

Vol 98 (3) ◽

pp. 719-731 ◽

Author(s):

W. S. Xu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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The maximum principle for the nonlinear stochastic optimal control problem of switching systems

Journal of Global Optimization ◽

10.1007/s10898-011-9825-8 ◽

2011 ◽

Vol 56 (2) ◽

pp. 341-352 ◽

Author(s):

Charkaz Aghayeva ◽

Qurban Abushov

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Switching Systems ◽

The Maximum Principle ◽

Stochastic Optimal Control Problem

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Maximum principle for discrete-time stochastic optimal control problem and stochastic game

Mathematical Control & Related Fields ◽

10.3934/mcrf.2021031 ◽

2021 ◽

Vol 0 (0) ◽

pp. 0

Author(s):

Zhen Wu ◽

Feng Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Stochastic Game ◽

Stochastic Optimal Control Problem

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Proximal Point Algorithm for an Approximated Stochastic Optimal Control Problem

Monte Carlo Methods and Applications ◽

10.1515/mcma.2000.6.3.175 ◽

2000 ◽

Vol 6 (3) ◽

Author(s):

W. Grecksch ◽

F. Heyde ◽

Chr. Tammer

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Proximal Point Algorithm ◽

Proximal Point ◽

Stochastic Optimal Control Problem

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