Stochastic Maximum Principle for Subdiffusions and Its Applications
From MaRDI portal
Publication:6202388
DOI10.1137/23m157168xarXiv2305.03676OpenAlexW4392812251MaRDI QIDQ6202388
Publication date: 26 March 2024
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2305.03676
stochastic maximum principlesubdiffusionBSDE driven by subdiffusionmartingale representation theorem of subdiffusion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Semi-Markov approach to continuous time random walk limit processes
- Adapted solution of a backward stochastic differential equation
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- A stochastic maximum principle for partially observed stochastic control systems with delay
- Time fractional equations and probabilistic representation
- Heat kernel estimates for time fractional equations
- Stochastic maximum principle in the mean-field controls
- Time fractional Poisson equations: representations and estimates
- Fokker-Planck equation for Feynman-Kac transform of anomalous processes
- On the stochastic maximum principle. Fixed time of control
- Optimal Controls for Stochastic Partial Differential Equations with an Application in Population Modeling
- A General Stochastic Maximum Principle for Optimal Control Problems
- Path Properties of Subdiffusion—A Martingale Approach
- Brownian subordinators and fractional Cauchy problems
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Limit theorems for continuous-time random walks with infinite mean waiting times
- A time-changed stochastic control problem and its maximum principle theory
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
This page was built for publication: Stochastic Maximum Principle for Subdiffusions and Its Applications
