A unified treatment of maximum principle and dynamic programming in stochastic controls
Author:
Affiliation:
1. a Institute of Mathematics , Fudan University , Shanghai, China
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442509108833715
Reference20 articles.
1. The Pontryagin maximum principle from dynamic programming and viscosity solutions to first-order partial differential equations
2. Bellman , R. 1957. “Dynamic Programming”. Princeton University Press.
3. Lecture Notes in Math;Bensoussan A.,1983
4. An Introductory Approach to Duality in Optimal Stochastic Control
Cited by 21 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations;The Annals of Applied Probability;2024-06-01
2. Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems;Journal of Differential Equations;2023-06
3. A dynamic analytic method for risk-aware controlled martingale problems;The Annals of Applied Probability;2023-06-01
4. A Generalized Finite Difference Method for Solving Hamilton–Jacobi–Bellman Equations in Optimal Investment;Mathematics;2023-05-17
5. Stochastic maximum principle for systems driven by local martingales with spatial parameters;Probability, Uncertainty and Quantitative Risk;2021
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3