Zhang, Shuaiqi; Chen, Zhen-Qing Stochastic maximum principle for subdiffusions and its applications. (English) Zbl 1539.93205 SIAM J. Control Optim. 62, No. 2, 953-981 (2024). Reviewer: Kurt Marti (München) MSC: 93E20 49K45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fu, Guanxing Mean field portfolio games with consumption. (English) Zbl 1507.91200 Math. Financ. Econ. 17, No. 1, 79-99 (2023). MSC: 91G10 91A16 91A80 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fu, Guanxing; Zhou, Chao Mean field portfolio games. (English) Zbl 1505.91059 Finance Stoch. 27, No. 1, 189-231 (2023). MSC: 91A16 91A80 91G10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aid, René; Cosso, Andrea; Pham, Huyên Equilibrium price in intraday electricity markets. (English) Zbl 1521.91339 Math. Finance 32, No. 2, 517-554 (2022). MSC: 91G15 91B74 60G46 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Aïd, René; Bonesini, Ofelia; Callegaro, Giorgia; Campi, Luciano A McKean-Vlasov game of commodity production, consumption and trading. (English) Zbl 1497.49046 Appl. Math. Optim. 86, No. 3, Paper No. 40, 37 p. (2022). MSC: 49N10 91A15 91G30 49N80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aïd, René; Callegaro, Giorgia; Campi, Luciano No-arbitrage commodity option pricing with market manipulation. (English) Zbl 1443.91281 Math. Financ. Econ. 14, No. 3, 577-603 (2020); correction ibid. 15, No. 2, 473-475 (2021). MSC: 91G20 60G44 91A15 91A80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Miller, Enzo; Pham, Huyên Linear-quadratic McKean-Vlasov stochastic differential games. (English) Zbl 1427.91026 Yin, George (ed.) et al., Modeling, stochastic control, optimization, and applications. Selected papers based on invited talks given at the IMA workshop in modeling, stochastic control, optimization, and related applications, Institute for Mathematics and Its Applications, University of Minnesota, Minneapolis, MN, USA, May 1 – June 30, 2018. Cham: Springer. IMA Vol. Math. Appl. 164, 451-481 (2019). MSC: 91A15 91A23 91A06 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Basei, Matteo; Pham, Huyên A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems. (English) Zbl 1416.49040 J. Optim. Theory Appl. 181, No. 2, 347-382 (2019). MSC: 49N10 49L20 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Bahlali, Khaled; Mezerdi, Meriem; Mezerdi, Brahim Existence and optimality conditions for relaxed mean-field stochastic control problems. (English) Zbl 1377.93173 Syst. Control Lett. 102, 1-8 (2017). MSC: 93E20 49K45 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Al-Hussein, Abdulrahman Necessary and sufficient conditions of optimal control for infinite dimensional SDEs. (Necessary and sufficient conditions of optimalcontrol for infinite dimensional SDEs.) (English) Zbl 1403.93192 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 149-171 (2016). MSC: 93E20 49K45 60H10 60G44 93C25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lin, Yi-Shen A generalization of the Mabinogion sheep problem of D. Williams. (English) Zbl 1352.93104 J. Appl. Probab. 53, No. 4, 1240-1256 (2016). MSC: 93E20 60G42 93C65 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Al-Hussein, Abdulrahman Maximum principle for optimal control of stochastic partial differential equations. (English) Zbl 1306.49040 Bull. Malays. Math. Sci. Soc. (2) 37, No. 3, 797-811 (2014). MSC: 49K45 60H15 93E20 60G44 35B50 × Cite Format Result Cite Review PDF Full Text: arXiv EMIS
Czichowsky, Christoph; Schweizer, Martin Cone-constrained continuous-time Markowitz problems. (English) Zbl 1268.91162 Ann. Appl. Probab. 23, No. 2, 764-810 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 91G80 93E20 60G48 49N10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Bahlali, Khaled; Khelfallah, Nabil; Mezerdi, Brahim Optimality conditions for partial information stochastic control problems driven by Lévy processes. (English) Zbl 1252.49037 Syst. Control Lett. 61, No. 11, 1079-1084 (2012). MSC: 49K45 93E20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Al-Hussein, AbdulRahman Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces. (English) Zbl 1234.93112 Appl. Math. Optim. 63, No. 3, 385-400 (2011). Reviewer: Georgiy Shevchenko (Kiev) MSC: 93E20 49K45 60H15 60H10 93E03 × Cite Format Result Cite Review PDF Full Text: DOI
Andersson, Daniel The relaxed general maximum principle for singular optimal control of diffusions. (English) Zbl 1154.93043 Syst. Control Lett. 58, No. 1, 76-82 (2009). MSC: 93E20 49K45 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Bordigoni, Giuliana; Matoussi, Anis; Schweizer, Martin A stochastic control approach to a robust utility maximization problem. (English) Zbl 1130.93056 Benth, Fred Espen (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Berlin: Springer (ISBN 978-3-540-70846-9/hbk). Abel Symposia 2, 125-151 (2007). MSC: 93E20 91B16 60H10 93B35 93C41 × Cite Format Result Cite Review PDF
Del Moral, Pierre Maslov optimization theory: Topological aspects. (English) Zbl 0905.60036 Gunawardena, Jeremy (ed.), Idempotency. Based on a workshop, Bristol, UK, October 3–7, 1994, Cambridge: Cambridge University Press. 354-382 (1998). MSC: 60G99 93E20 × Cite Format Result Cite Review PDF
Baras, John S.; Elliott, Robert J.; Kohlmann, Michael The partially observed stochastic minimum principle. (English) Zbl 0681.93068 SIAM J. Control Optimization 27, No. 6, 1279-1292 (1989). MSC: 93E20 93C10 49K45 93C15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Haussmann, U. G. A stochastic maximum principle for optimal control of diffusions. (English) Zbl 0616.93076 Pitman Research Notes in Mathematics Series, 151. Harlow, Essex, England: Longman Scientific & Technical. Copubl. in the United States with John Wiley & Sons, Inc., New York. V, 109 p. Ł 12.00 (1986). Reviewer: H.Pragarauskas MSC: 93E20 49K45 93-02 60H10 60J60 × Cite Format Result Cite Review PDF
Chitashvili, R. J. Stochastic maximum principle in the problem of optimal absolutely continuous change of measure. (English) Zbl 0596.93069 Stochastic differential systems, Proc. 3rd Bad Honnef Conf. 1985, Lect. Notes Control Inf. Sci. 78, 111-120 (1986). Reviewer: M.Nisio MSC: 93E20 49K45 60G44 60B99 × Cite Format Result Cite Review PDF
Groenewegen, Luuk P. J. Characterization of optimal strategies in dynamic games. (English) Zbl 0463.90093 Mathematical Centre Tracts, 90. Amsterdam: Mathematisch Centrum. 110 p. Dfl. 14.70 (1981). MSC: 91A20 90C39 60G42 90-02 91A15 × Cite Format Result Cite Review PDF
Elliott, Robert J.; Kohlmann, Michael The variational principle and stochastic optimal control. (English) Zbl 0434.49009 Stochastics 3, 229-241 (1980). MSC: 49K45 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Ibert, Wolfgang Martingaltheoretische Analyse von Optimalitätsprinzipien in zeitlich diskreten stochastischen Kontrollproblemen. (German) Zbl 0409.49022 Rechts- und Staatswissenschaftliche Fakultät der Rheinischen Friedrich- Wilhelms-Universität zu Bonn. 76 S. (1978). MSC: 49K45 93E20 93C55 60G42 × Cite Format Result Cite Review PDF