 Previous Article
 PUQR Home
 This Issue

Next Article
Implied fractional hazard rates and default risk distributions
Stochastic global maximum principle for optimization with recursive utilities
Zhongtai Institute of Finance, Shandong University, Jinan, Shandong 250100, People's Republic of China 
References:
show all references
References:
[1] 
Yushi Hamaguchi. Extended backward stochastic Volterra integral equations and their applications to timeInconsistent stochastic recursive control problems. Mathematical Control and Related Fields, 2021, 11 (2) : 433478. doi: 10.3934/mcrf.2020043 
[2] 
Ishak Alia. Timeinconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach. Mathematical Control and Related Fields, 2020, 10 (4) : 785826. doi: 10.3934/mcrf.2020020 
[3] 
Zhen Wu, Feng Zhang. Maximum principle for discretetime stochastic optimal control problem and stochastic game. Mathematical Control and Related Fields, 2022, 12 (2) : 475493. doi: 10.3934/mcrf.2021031 
[4] 
Adel Chala, Dahbia Hafayed. On stochastic maximum principle for risksensitive of fully coupled forwardbackward stochastic control of meanfield type with application. Evolution Equations and Control Theory, 2020, 9 (3) : 817843. doi: 10.3934/eect.2020035 
[5] 
Yufeng Shi, Tianxiao Wang, Jiongmin Yong. Optimal control problems of forwardbackward stochastic Volterra integral equations. Mathematical Control and Related Fields, 2015, 5 (3) : 613649. doi: 10.3934/mcrf.2015.5.613 
[6] 
Phuong Nguyen, Roger Temam. The stampacchia maximum principle for stochastic partial differential equations forced by lévy noise. Communications on Pure and Applied Analysis, 2020, 19 (4) : 22892331. doi: 10.3934/cpaa.2020100 
[7] 
Shaolin Ji, Xiaole Xue. A stochastic maximum principle for linear quadratic problem with nonconvex control domain. Mathematical Control and Related Fields, 2019, 9 (3) : 495507. doi: 10.3934/mcrf.2019022 
[8] 
Yuanzhuo Song, Zhen Wu. The general maximum principle for stochastic control problems with singular controls. Discrete and Continuous Dynamical Systems, 2022 doi: 10.3934/dcds.2022106 
[9] 
Jingtao Shi, Juanjuan Xu, Huanshui Zhang. Stochastic recursive optimal control problem with time delay and applications. Mathematical Control and Related Fields, 2015, 5 (4) : 859888. doi: 10.3934/mcrf.2015.5.859 
[10] 
Yan Wang, Yanxiang Zhao, Lei Wang, Aimin Song, Yanping Ma. Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer. Journal of Industrial and Management Optimization, 2018, 14 (2) : 653671. doi: 10.3934/jimo.2017067 
[11] 
Shanjian Tang. A secondorder maximum principle for singular optimal stochastic controls. Discrete and Continuous Dynamical Systems  B, 2010, 14 (4) : 15811599. doi: 10.3934/dcdsb.2010.14.1581 
[12] 
Carlo Orrieri. A stochastic maximum principle with dissipativity conditions. Discrete and Continuous Dynamical Systems, 2015, 35 (11) : 54995519. doi: 10.3934/dcds.2015.35.5499 
[13] 
Jasmina Djordjević, Svetlana Janković. Reflected backward stochastic differential equations with perturbations. Discrete and Continuous Dynamical Systems, 2018, 38 (4) : 18331848. doi: 10.3934/dcds.2018075 
[14] 
Jan A. Van Casteren. On backward stochastic differential equations in infinite dimensions. Discrete and Continuous Dynamical Systems  S, 2013, 6 (3) : 803824. doi: 10.3934/dcdss.2013.6.803 
[15] 
Joscha Diehl, Jianfeng Zhang. Backward stochastic differential equations with Young drift. Probability, Uncertainty and Quantitative Risk, 2017, 2 (0) : 5. doi: 10.1186/s4154601700165 
[16] 
ȘtefanaLucia Aniţa. Optimal control for stochastic differential equations and related Kolmogorov equations. Evolution Equations and Control Theory, 2022 doi: 10.3934/eect.2022023 
[17] 
Dariusz Borkowski. Forward and backward filtering based on backward stochastic differential equations. Inverse Problems and Imaging, 2016, 10 (2) : 305325. doi: 10.3934/ipi.2016002 
[18] 
Xin Chen, Ana Bela Cruzeiro. Stochastic geodesics and forwardbackward stochastic differential equations on Lie groups. Conference Publications, 2013, 2013 (special) : 115121. doi: 10.3934/proc.2013.2013.115 
[19] 
Ying Hu, Shanjian Tang. Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations. Discrete and Continuous Dynamical Systems, 2015, 35 (11) : 54475465. doi: 10.3934/dcds.2015.35.5447 
[20] 
Dejian Chang, Zhen Wu. Stochastic maximum principle for nonzero sum differential games of FBSDEs with impulse controls and its application to finance. Journal of Industrial and Management Optimization, 2015, 11 (1) : 2740. doi: 10.3934/jimo.2015.11.27 
Impact Factor:
Tools
Metrics
Other articles
by authors
[Back to Top]