Optimality conditions in variational form for non-linear constrained stochastic control problems

Laurent Pfeiffer;

doi:10.3934/mcrf.2020008

Optimality conditions in variational form for non-linear constrained stochastic control problems

Mathematical Control & Related Fields ◽

10.3934/mcrf.2020008 ◽

2020 ◽

Vol 10 (3) ◽

pp. 493-526

Author(s):

Laurent Pfeiffer ◽

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Non Linear ◽

Variational Form

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Existence and optimality conditions for relaxed mean-field stochastic control problems

Systems & Control Letters ◽

10.1016/j.sysconle.2016.12.009 ◽

2017 ◽

Vol 102 ◽

pp. 1-8 ◽

Cited By ~ 2

Author(s):

Khaled Bahlali ◽

Meriem Mezerdi ◽

Brahim Mezerdi

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Mean Field ◽

Control Problems ◽

Stochastic Control Problems

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A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

Applied Mathematics & Optimization ◽

10.1007/s00245-011-9143-z ◽

2011 ◽

Vol 65 (1) ◽

pp. 15-29 ◽

Cited By ~ 6

Author(s):

Seid Bahlali ◽

Adel Chala

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Control Problems ◽

Jump Diffusions ◽

Stochastic Control Problems

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Optimality conditions for partial information stochastic control problems driven by Lévy processes

Systems & Control Letters ◽

10.1016/j.sysconle.2012.08.005 ◽

2012 ◽

Vol 61 (11) ◽

pp. 1079-1084 ◽

Cited By ~ 3

Author(s):

Khaled Bahlali ◽

Nabil Khelfallah ◽

Brahim Mezerdi

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Lévy Processes ◽

Partial Information ◽

Levy Processes ◽

Control Problems ◽

Stochastic Control Problems

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Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Cited By ~ 4

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Cited By ~ 10

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

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A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Cited By ~ 33

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Individual and mass behavior in large population forward–backward stochastic control problems: Centralized and Nash equilibrium solutions

Optimal Control Applications and Methods ◽

10.1002/oca.2727 ◽

2021 ◽

Author(s):

Shujun Wang ◽

Hua Xiao

Keyword(s):

Nash Equilibrium ◽

Stochastic Control ◽

Large Population ◽

Control Problems ◽

Equilibrium Solutions ◽

Stochastic Control Problems ◽

Mass Behavior ◽

Nash Equilibrium Solutions

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On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/0330053 ◽

1992 ◽

Vol 30 (4) ◽

pp. 975-999 ◽

Cited By ~ 26

Author(s):

Jin Ma

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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