Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach

DOI10.1007/s00245-023-09978-0OpenAlexW3206613402MaRDI QIDQ2701088

Giuseppe D'Onofrio, Giacomo Ascione

Publication date: 27 April 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.04010

zbMATH Keywords

stochastic differential equationEuler-Lagrange equationgeometric Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55)

Uses Software

• Matlab

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A stochastic maximum principle with dissipativity conditions
• First and second order necessary conditions for stochastic optimal control problems
• A maximum principle for SDEs of mean-field type
• Adapted solution of a backward stochastic differential equation
• On some recent aspects of stochastic control and their applications
• Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
• Diffusion approximation of the neuronal model with synaptic reversal potentials
• Deterministic control of stochastic reaction-diffusion equations
• A maximum principle for a stochastic control problem with multiple random terminal times
• Detecting the presence of a random drift in Brownian motion
• An optimal Gauss-Markov approximation for a process with stochastic drift and applications
• On the relation between ordinary and stochastic differential equations
• Stochastic simulation: Algorithms and analysis
• Stochastic-Process Limits
• Stochastic Maximum Principle for Optimal Control of a Class of Nonlinear SPDEs with Dissipative Drift
• A General Stochastic Maximum Principle for Optimal Control Problems
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Dynamic programming and stochastic control processes
• A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
• The Numerical Solution of Integral Equations of the Second Kind
• On two diffusion neuronal models with multiplicative noise: The mean first-passage time properties
• Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications
• Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
• Network of interacting neurons with random synaptic weights
• Function Spaces

This page was built for publication: Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach