Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

DOI10.1080/07362994.2012.727138zbMath1252.49040OpenAlexW2000587431MaRDI QIDQ3145061

Zhen Wu, Jing-Tao Shi

Publication date: 13 December 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.727138

zbMATH Keywords

maximum principlestochastic optimal controlRiccati equationrisk-sensitive controlOrnstein-Uhlenbeck model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (10)

On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application ⋮ Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Risk-sensitive mean-field-type games with \(L^p\)-norm drifts ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type ⋮ On the singular risk-sensitive stochastic maximum principle

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