1972
DOI: 10.1137/0310041
|View full text |Cite
|
Sign up to set email alerts
|

Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1
1

Citation Types

0
137
0
2

Year Published

2012
2012
2022
2022

Publication Types

Select...
8
1

Relationship

0
9

Authors

Journals

citations
Cited by 278 publications
(139 citation statements)
references
References 10 publications
0
137
0
2
Order By: Relevance
“…Let the distance between a, λ and a , λ be μμ /2Kκ max{ρ a, a , |λ − λ |Kκ} in the complete space cl B a * , μ × − μ/Kκ, 0 . By Aubin and Ekeland 11, Theorem 1, page 255 Ekeland's variational principle , there exists a a 1 …”
Section: Appendixmentioning
confidence: 99%
“…Let the distance between a, λ and a , λ be μμ /2Kκ max{ρ a, a , |λ − λ |Kκ} in the complete space cl B a * , μ × − μ/Kκ, 0 . By Aubin and Ekeland 11, Theorem 1, page 255 Ekeland's variational principle , there exists a a 1 …”
Section: Appendixmentioning
confidence: 99%
“…Here, the general Hamiltonian H is given by (11), with p, q, r, w replaced byp,q,r ,w. (35)- (38) and corresponding derivative processes x 1 (t) and (y 1 (t), z 1 (t), k 1 (t, ζ ), v 1 (t)) given by (20) and (21) …”
Section: (T) α(T) Y (T) Z (T) K (T ·) V (T) U A(t) κ(T) mentioning
confidence: 99%
“…The stochastic maximum principle is presented in terms of an adjoint equation, which is a solution to a backward stochastic differential equation (BSDE). There is a vast literature on stochastic maximum principle, and the reader may consult [7,[9][10][11][12][13] for more information. Some applications of stochastic maximum principle in finance include: the mean-variance portfolio selection (see, e.g.…”
Section: Introductionmentioning
confidence: 99%
“…By the stochastic maximum principle, solving optimal control problems is reduced to solving a system of forward-backward stochastic differential equations. The early contributions to the stochastic maximum principle approach were made by Kushner (1972), Bismut (1973) and Bensoussan (1982). In the last three decades, many extensions of the stochastic maximum principle have been made, see for example, Peng (1990), Tang and Li (1994), Framstad et al (2004), Shi (2012), Haadem et al (2013) and references therein.…”
Section: Introductionmentioning
confidence: 99%