Stochastic maximum principle for optimal control with multiple priors
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Publication:2440025
DOI10.1016/j.sysconle.2013.12.001zbMath1283.93323OpenAlexW2018523030MaRDI QIDQ2440025
Publication date: 26 March 2014
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2013.12.001
Brownian motion (60J65) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
Related Items (5)
Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Stochastic maximum principle for optimal control problem under G-expectation utility ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty ⋮ \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications ⋮ Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity
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- Martingale representation theorem for the \(G\)-expectation
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- A stochastic maximum principle for systems with jumps, with applications to finance.
- Backward stochastic differential equations and applications to optimal control
- Superhedging and Dynamic Risk Measures under Volatility Uncertainty
- A General Stochastic Maximum Principle for Optimal Control Problems
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Pricing and hedging derivative securities in markets with uncertain volatilities
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