Second-Order Necessary Conditions for Optimal Control with Recursive Utilities View Full Text


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Article Info

DATE

2019-04-05

AUTHORS

Yuchao Dong, Qingxin Meng

ABSTRACT

N/A

References to SciGraph publications

  • 2004-04. Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 1993-03. Backward stochastic differential equations and applications to optimal control in APPLIED MATHEMATICS & OPTIMIZATION
  • 2017-12. Stochastic global maximum principle for optimization with recursive utilities in PROBABILITY, UNCERTAINTY AND QUANTITATIVE RISK
  • 1984-08. Necessary conditions for optimality of singular controls in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 2012-06. First and Second Order Necessary Conditions for Stochastic Optimal Control Problems in APPLIED MATHEMATICS & OPTIMIZATION
  • 2011-06. A Maximum Principle for SDEs of Mean-Field Type in APPLIED MATHEMATICS & OPTIMIZATION
  • 1999. Open Problems on Backward Stochastic Differential Equations in CONTROL OF DISTRIBUTED PARAMETER AND STOCHASTIC SYSTEMS
  • 1985. Maximum principle of distributed parameter systems with time lags in DISTRIBUTED PARAMETER SYSTEMS
  • Journal

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