Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application

DOI10.1007/S00574-017-0031-2zbMath1375.60100OpenAlexW2591350062MaRDI QIDQ1684177

Adel Chala

Publication date: 8 December 2017

Published in: Bulletin of the Brazilian Mathematical Society. New Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00574-017-0031-2

zbMATH Keywords

variational principlestochastic maximum principlebackward stochastic differential equationadjoint equationlogarithmic transformationrisk-sensitive

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (5)

On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application ⋮ \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications ⋮ On the singular risk-sensitive stochastic maximum principle

Cites Work

• Adapted solution of a backward stochastic differential equation
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
• Risk-Sensitive Mean-Field Games
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
• A new risk-sensitive maximum principle

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