Optimal control for stochastic differential equations and related Kolmogorov equations
DOI10.3934/eect.2022023zbMath1505.93279OpenAlexW4226137844WikidataQ115219083 ScholiaQ115219083MaRDI QIDQ2106045
Publication date: 8 December 2022
Published in: Evolution Equations and Control Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/eect.2022023
optimal controlstochastic differential equationweak solutionmild solutionfeedback controloptimal control problemKolmogorov equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Feedback control (93B52) Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Weak solutions to PDEs (35D30)
Cites Work
- A Fokker-Planck control framework for multidimensional stochastic processes
- Kolmogorov equations for stochastic PDEs.
- Optimal control of stochastic differential equations via Fokker-Planck equations
- Semigroups of linear operators and applications to partial differential equations
- Optimal control of the Fokker-Planck equation with space-dependent controls
- A Fokker-Planck control framework for stochastic systems
- Feedback optimal controllers for the Heston model
- The first variation and Pontryagin’s maximum principle in optimal control for partial differential equations
- Optimal Feedback Controllers for a Stochastic Differential Equation with Reflection
- A stochastic optimal control problem with feedback inputs
- Optimal Control of Nonlinear Stochastic Differential Equations on Hilbert Spaces
- Nonlinear Differential Equations of Monotone Types in Banach Spaces
- Stochastic differential equations. An introduction with applications.
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Optimal control for stochastic differential equations and related Kolmogorov equations
