A Stochastic Pontryagin Maximum Principle on the Sierpinski Gasket

DOI10.1137/17M1113606zbMath1404.60085arXiv1701.02563OpenAlexW2893261432WikidataQ128871164 ScholiaQ128871164MaRDI QIDQ4558885

Xuan Liu

Publication date: 30 November 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02563

zbMATH Keywords

stochastic maximum principleSierpinski gasketBSDEs

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45)

Cites Work

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• Dirichlet forms and symmetric Markov processes.
• Dirichlet forms of fractals and products of random matrices
• Backward problems for stochastic differential equations on the Sierpinski gasket
• Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal
• A General Stochastic Maximum Principle for Optimal Control Problems

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