The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk

DOI10.1007/s10114-007-0989-6zbMath1136.60340OpenAlexW2121407570MaRDI QIDQ2481788

Zhen Wu, Shaolin Ji

Publication date: 15 April 2008

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-0989-6

zbMATH Keywords

perturbation methodbackward stochastic differential equationEkeland's variational principledynamic measure of risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Related Items (6)

Portfolio optimization under entropic risk management ⋮ On controllability for stochastic control systems when the coefficient is time-variant ⋮ A generalized existence theorem of backward doubly stochastic differential equations ⋮ The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps ⋮ The optimal portfolio selection model under \(g\)-expectation ⋮ An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints

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