Concepedia

Second-Order Necessary Conditions for Optimal Control with Recursive Utilities

Yuchao Dong, Qingxin Meng

Journal of Optimization Theory and Applications · 2019 · 12 citations · 21 references

DOI

Concepts

References

21

Ambiguity, Risk, and Asset Returns in Continuous Time

Zengjing Chen, Larry G. Epstein · Econometrica · 2002 · 1.1K citations · Full text

, , +14

A General Stochastic Maximum Principle for Optimal Control Problems

Shigē Péng · SIAM Journal on Control and Optimization · 1990 · 803 citations

, , +14

An Introductory Approach to Duality in Optimal Stochastic Control

Jean‐Michel Bismut · SIAM Review · 1978 · 465 citations

, , +16

The High Order Maximal Principle and Its Application to Singular Extremals

Arthur J. Krener · SIAM Journal on Control and Optimization · 1977 · 442 citations

, , +14

Backward stochastic differential equations and applications to optimal control

Shigē Péng · Applied Mathematics & Optimization · 1993 · 414 citations

, , +11