A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
From MaRDI portal
Publication:4022726
DOI10.1080/17442509208833790zbMath0774.93085OpenAlexW1965858589MaRDI QIDQ4022726
Gabriel Burstein, Mark H. A. Davis
Publication date: 17 January 1993
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509208833790
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Related Items (13)
Wong-Zakai approximation for the stochastic Landau-Lifshitz-Gilbert equations ⋮ Stochastic control with rough paths ⋮ Pathwise stochastic control with applications to robust filtering ⋮ Shadow price of information in discrete time stochastic optimization ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ The pathwise-determined maximum principle and symmetric integrals ⋮ A (rough) pathwise approach to a class of non-linear stochastic partial differential equations ⋮ Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach ⋮ Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions ⋮ On the splitting-up method for rough (partial) differential equations ⋮ A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA ⋮ Wong-Zakai approximation for the stochastic Landau-Lifshitz-Gilbert equations with anisotropy energy ⋮ О сильных решениях стохастических дифференциальных уравнений и их потраекторных аналогов
This page was built for publication: A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
