A new look at the Lagrange method for continuous-time stochastic optimization

DOI10.1007/S11425-012-4519-3zbMath1259.90081OpenAlexW2032488963MaRDI QIDQ1934408

Xue Cheng, Jia'an Yan

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-012-4519-3

zbMATH Keywords

stochastic optimizationsubdifferentialFréchet derivativeoptional projectionextremal pointLagrange method

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (1)

Sensitivity results in stochastic optimal control: A Lagrangian perspective

Cites Work

• The Lagrange method of optimization with applications to portfolio and investment decisions
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• A General Stochastic Maximum Principle for Optimal Control Problems
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
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