Hamed, Ikram; Chala, Adel Stochastic controls of fractional Brownian motion. (English) Zbl 07812408 Random Oper. Stoch. Equ. 32, No. 1, 27-39 (2024). MSC: 93E20 49N10 93C10 60H10 60G22 PDFBibTeX XMLCite \textit{I. Hamed} and \textit{A. Chala}, Random Oper. Stoch. Equ. 32, No. 1, 27--39 (2024; Zbl 07812408) Full Text: DOI
Huang, Xiaomin; Liu, Wei Poisson stable solutions for stochastic PDEs driven by Lévy noise. (English) Zbl 07796904 J. Differ. Equations 383, 270-323 (2024). MSC: 60H15 49K40 60G51 34C27 PDFBibTeX XMLCite \textit{X. Huang} and \textit{W. Liu}, J. Differ. Equations 383, 270--323 (2024; Zbl 07796904) Full Text: DOI
Sun, Yifang Maximum principle for mean-field controlled systems driven by a fractional Brownian motion. (English) Zbl 07791478 Optim. Control Appl. Methods 44, No. 6, 3282-3305 (2023). MSC: 93E20 49N80 60H30 60G22 PDFBibTeX XMLCite \textit{Y. Sun}, Optim. Control Appl. Methods 44, No. 6, 3282--3305 (2023; Zbl 07791478) Full Text: DOI
Menoukeu-Pamen, Olivier; Tangpi, Ludovic Maximum principle for stochastic control of SDEs with measurable drifts. (English) Zbl 1518.49033 J. Optim. Theory Appl. 197, No. 3, 1195-1228 (2023). MSC: 49K45 58E30 60E15 60H20 60J60 28C20 PDFBibTeX XMLCite \textit{O. Menoukeu-Pamen} and \textit{L. Tangpi}, J. Optim. Theory Appl. 197, No. 3, 1195--1228 (2023; Zbl 1518.49033) Full Text: DOI arXiv
Wang, Jiani; Wang, Xiao; Zhang, Liwei Stochastic regularized Newton methods for nonlinear equations. (English) Zbl 1519.90141 J. Sci. Comput. 94, No. 3, Paper No. 51, 33 p. (2023). MSC: 90C15 49M37 65K10 90C30 PDFBibTeX XMLCite \textit{J. Wang} et al., J. Sci. Comput. 94, No. 3, Paper No. 51, 33 p. (2023; Zbl 1519.90141) Full Text: DOI
Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths. (English) Zbl 07681521 J. Differ. Equations 362, 106-172 (2023). Reviewer: Denis R. Bell (Jacksonville) MSC: 60H10 49N60 91G80 PDFBibTeX XMLCite \textit{O. Amine} et al., J. Differ. Equations 362, 106--172 (2023; Zbl 07681521) Full Text: DOI arXiv
Coffie, Emmanuel; Duedahl, Sindre; Proske, Frank Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs. (English) Zbl 1502.60090 Stochastic Processes Appl. 156, 156-195 (2023). MSC: 60H10 49N60 91G80 PDFBibTeX XMLCite \textit{E. Coffie} et al., Stochastic Processes Appl. 156, 156--195 (2023; Zbl 1502.60090) Full Text: DOI arXiv
Huesmann, Martin; Mattesini, Francesco; Trevisan, Dario Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus. (English) Zbl 1508.60050 Stochastic Processes Appl. 155, 1-26 (2023). MSC: 60G22 49Q22 60B05 60B10 PDFBibTeX XMLCite \textit{M. Huesmann} et al., Stochastic Processes Appl. 155, 1--26 (2023; Zbl 1508.60050) Full Text: DOI arXiv
Meng, Qingxin; Dong, Yuchao; Shen, Yang; Tang, Shanjian Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps. (English) Zbl 1501.49018 Appl. Math. Optim. 87, No. 1, Paper No. 3, 51 p. (2023). MSC: 49K45 49K20 90C39 35F21 35R60 60H15 60J65 60J76 PDFBibTeX XMLCite \textit{Q. Meng} et al., Appl. Math. Optim. 87, No. 1, Paper No. 3, 51 p. (2023; Zbl 1501.49018) Full Text: DOI arXiv
Grecksch, Wilfried; Lisei, Hannelore An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion. (English) Zbl 1514.60075 Stoch. Dyn. 22, No. 7, Article ID 2240020, 21 p. (2022). Reviewer: Nikos Kavallaris (Karlstad) MSC: 60H15 49J55 49K45 60G22 PDFBibTeX XMLCite \textit{W. Grecksch} and \textit{H. Lisei}, Stoch. Dyn. 22, No. 7, Article ID 2240020, 21 p. (2022; Zbl 1514.60075) Full Text: DOI
Lü, Qi; Zhang, Xu A concise introduction to control theory for stochastic partial differential equations. (English) Zbl 1508.93332 Math. Control Relat. Fields 12, No. 4, 847-954 (2022). MSC: 93E20 60H15 93B05 93B07 49N10 PDFBibTeX XMLCite \textit{Q. Lü} and \textit{X. Zhang}, Math. Control Relat. Fields 12, No. 4, 847--954 (2022; Zbl 1508.93332) Full Text: DOI arXiv
Blouhi, Tayeb; Ferhat, Mohamed Coupled system of second-order stochastic neutral differential inclusions driven by Wiener process and Poisson jumps. (English) Zbl 1506.34077 Differ. Equ. Dyn. Syst. 30, No. 4, 1011-1025 (2022). MSC: 34G25 37C60 34A37 34F05 47N20 49J53 60G55 PDFBibTeX XMLCite \textit{T. Blouhi} and \textit{M. Ferhat}, Differ. Equ. Dyn. Syst. 30, No. 4, 1011--1025 (2022; Zbl 1506.34077) Full Text: DOI
Gobet, Emmanuel; Grangereau, Maxime Newton method for stochastic control problems. (English) Zbl 1500.93145 SIAM J. Control Optim. 60, No. 5, 2996-3025 (2022). MSC: 93E20 49M15 60H30 49N10 PDFBibTeX XMLCite \textit{E. Gobet} and \textit{M. Grangereau}, SIAM J. Control Optim. 60, No. 5, 2996--3025 (2022; Zbl 1500.93145) Full Text: DOI
Almeida, Adilson; Chemetov, Nikolai V.; Cipriano, Fernanda Uniqueness for optimal control problems of two-dimensional second grade fluids. (English) Zbl 1504.35276 Electron. J. Differ. Equ. 2022, Paper No. 22, 12 p. (2022). MSC: 35Q35 76A05 76D55 49K20 49J20 60G15 60H15 35R60 PDFBibTeX XMLCite \textit{A. Almeida} et al., Electron. J. Differ. Equ. 2022, Paper No. 22, 12 p. (2022; Zbl 1504.35276) Full Text: Link
Wang, Tianxiao Backward stochastic Volterra integro-differential equations and applications in optimal control problems. (English) Zbl 1498.93791 SIAM J. Control Optim. 60, No. 4, 2393-2419 (2022). MSC: 93E20 45J05 60H20 49N10 PDFBibTeX XMLCite \textit{T. Wang}, SIAM J. Control Optim. 60, No. 4, 2393--2419 (2022; Zbl 1498.93791) Full Text: DOI
Li, Han; Zhou, Jianjun; Dai, Haoran; Xu, Biteng; Dong, Wenxu Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle. (English) Zbl 1497.93243 Taiwanese J. Math. 26, No. 3, 635-665 (2022). MSC: 93E20 60H30 49K27 PDFBibTeX XMLCite \textit{H. Li} et al., Taiwanese J. Math. 26, No. 3, 635--665 (2022; Zbl 1497.93243) Full Text: DOI
Yang, Xueyang; Yu, Zhiyong FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays. (English) Zbl 1485.93643 Syst. Control Lett. 161, Article ID 105149, 9 p. (2022). MSC: 93E20 49N10 93C15 60H30 PDFBibTeX XMLCite \textit{X. Yang} and \textit{Z. Yu}, Syst. Control Lett. 161, Article ID 105149, 9 p. (2022; Zbl 1485.93643) Full Text: DOI
Durga, N.; Muthukumar, P.; Fu, Xianlong Stochastic time-optimal control for time-fractional Ginzburg-Landau equation with mixed fractional Brownian motion. (English) Zbl 1479.35833 Stochastic Anal. Appl. 39, No. 6, 1144-1165 (2021). MSC: 35Q56 26A33 35R11 49J20 60G22 60G57 60H15 35A01 PDFBibTeX XMLCite \textit{N. Durga} et al., Stochastic Anal. Appl. 39, No. 6, 1144--1165 (2021; Zbl 1479.35833) Full Text: DOI
Zhang, Shuaiqi; Xiong, Jie; Shi, Jingtao A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information. (English) Zbl 1480.93454 Syst. Control Lett. 157, Article ID 105046, 7 p. (2021). MSC: 93E20 49N10 93C23 34K50 PDFBibTeX XMLCite \textit{S. Zhang} et al., Syst. Control Lett. 157, Article ID 105046, 7 p. (2021; Zbl 1480.93454) Full Text: DOI
Han, Jiequn; Hu, Ruimeng Recurrent neural networks for stochastic control problems with delay. (English) Zbl 1478.93661 Math. Control Signals Syst. 33, No. 4, 775-795 (2021). MSC: 93E03 34K50 93B70 93C43 49N10 91G10 PDFBibTeX XMLCite \textit{J. Han} and \textit{R. Hu}, Math. Control Signals Syst. 33, No. 4, 775--795 (2021; Zbl 1478.93661) Full Text: DOI arXiv
Gou, Zhun; Huang, Nan-jing; Wang, Ming-hui; Zhang, Yao-jia A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator. (English) Zbl 1477.49024 Math. Control Relat. Fields 11, No. 2, 291-312 (2021). MSC: 49J55 49J20 60H15 93E20 92D25 91B70 PDFBibTeX XMLCite \textit{Z. Gou} et al., Math. Control Relat. Fields 11, No. 2, 291--312 (2021; Zbl 1477.49024) Full Text: DOI arXiv
Meng, Weijun; Shi, Jingtao Linear quadratic optimal control problems of delayed backward stochastic differential equations. (English) Zbl 1476.93162 Appl. Math. Optim. 84, Suppl. 1, S523-S559 (2021). MSC: 93E20 93C43 49N10 34K50 PDFBibTeX XMLCite \textit{W. Meng} and \textit{J. Shi}, Appl. Math. Optim. 84, S523--S559 (2021; Zbl 1476.93162) Full Text: DOI arXiv
Dai, Haoran; Zhou, Jianjun; Li, Han Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces. (English) Zbl 1470.93163 Bull. Malays. Math. Sci. Soc. (2) 44, No. 5, 3229-3258 (2021). MSC: 93E20 93C25 60H30 49K27 49N10 PDFBibTeX XMLCite \textit{H. Dai} et al., Bull. Malays. Math. Sci. Soc. (2) 44, No. 5, 3229--3258 (2021; Zbl 1470.93163) Full Text: DOI
Fu, Yongqiang; Yan, Lixu Weak solutions and optimal controls of stochastic fractional reaction-diffusion systems. (English) Zbl 1479.49065 Open Math. 18, 1135-1149 (2020). Reviewer: Feng-Yu Wang (Swansea) MSC: 49K45 35K57 60H15 35A01 47H06 35D30 35R11 60H40 PDFBibTeX XMLCite \textit{Y. Fu} and \textit{L. Yan}, Open Math. 18, 1135--1149 (2020; Zbl 1479.49065) Full Text: DOI
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems. (English) Zbl 1457.93084 ESAIM, Control Optim. Calc. Var. 26, Paper No. 81, 36 p. (2020). MSC: 93E20 60H15 49L25 35K15 PDFBibTeX XMLCite \textit{M. Hu} et al., ESAIM, Control Optim. Calc. Var. 26, Paper No. 81, 36 p. (2020; Zbl 1457.93084) Full Text: DOI arXiv
Baños, David; Nilssen, Torstein; Proske, Frank Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift. (English) Zbl 1456.60140 J. Dyn. Differ. Equations 32, No. 4, 1819-1866 (2020). MSC: 60H10 60G22 49N60 PDFBibTeX XMLCite \textit{D. Baños} et al., J. Dyn. Differ. Equations 32, No. 4, 1819--1866 (2020; Zbl 1456.60140) Full Text: DOI arXiv Link
Amine, Oussama; Baños, David R.; Proske, Frank Regularity properties of the stochastic flow of a skew fractional Brownian motion. (English) Zbl 1461.60038 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 1, Article ID 2050005, 19 p. (2020). MSC: 60H10 49J55 49N60 60G22 PDFBibTeX XMLCite \textit{O. Amine} et al., Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 1, Article ID 2050005, 19 p. (2020; Zbl 1461.60038) Full Text: DOI arXiv
Foghem Gounoue, Guy Fabrice; Kassmann, Moritz; Voigt, Paul Mosco convergence of nonlocal to local quadratic forms. (English) Zbl 1437.49027 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 193, Article ID 111504, 22 p. (2020). Reviewer: Stepan Agop Tersian (Rousse) MSC: 49J45 28A80 35J20 35J92 46B10 46E35 47A07 49J40 PDFBibTeX XMLCite \textit{G. F. Foghem Gounoue} et al., Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 193, Article ID 111504, 22 p. (2020; Zbl 1437.49027) Full Text: DOI arXiv
Goreac, Dan Border avoidance: necessary regularity for coefficients and viscosity approach. (English) Zbl 1430.92033 SIAM J. Control Optim. 57, No. 6, 4175-4204 (2019). Reviewer: Irina Ioana Mohorianu (Oxford) MSC: 92C42 92D10 49L25 60J70 PDFBibTeX XMLCite \textit{D. Goreac}, SIAM J. Control Optim. 57, No. 6, 4175--4204 (2019; Zbl 1430.92033) Full Text: DOI arXiv Link
McEneaney, William M. A stochastic control verification theorem for the dequantized Schrödinger equation not requiring a duration restriction. (English) Zbl 1420.35280 Appl. Math. Optim. 79, No. 2, 427-452 (2019). MSC: 35Q41 60J60 93E20 35Q93 49L20 30D20 PDFBibTeX XMLCite \textit{W. M. McEneaney}, Appl. Math. Optim. 79, No. 2, 427--452 (2019; Zbl 1420.35280) Full Text: DOI
Draouil, Olfa; Øksendal, Bernt A white noise approach to optimal insider control of systems with delay. (English) Zbl 1411.91496 J. Math. Anal. Appl. 476, No. 1, 101-119 (2019). MSC: 91G10 49N90 60H07 PDFBibTeX XMLCite \textit{O. Draouil} and \textit{B. Øksendal}, J. Math. Anal. Appl. 476, No. 1, 101--119 (2019; Zbl 1411.91496) Full Text: DOI arXiv
Li, Na; Wang, Yuan; Wu, Zhen An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations. (English) Zbl 1402.93268 J. Optim. Theory Appl. 179, No. 2, 722-744 (2018). MSC: 93E20 60H10 49N10 93C95 PDFBibTeX XMLCite \textit{N. Li} et al., J. Optim. Theory Appl. 179, No. 2, 722--744 (2018; Zbl 1402.93268) Full Text: DOI
Savku, Emel; Weber, Gerhard-Wilhelm A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance. (English) Zbl 1402.93269 J. Optim. Theory Appl. 179, No. 2, 696-721 (2018). MSC: 93E20 49K45 91G80 60J75 60H10 60H15 PDFBibTeX XMLCite \textit{E. Savku} and \textit{G.-W. Weber}, J. Optim. Theory Appl. 179, No. 2, 696--721 (2018; Zbl 1402.93269) Full Text: DOI
Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien Systemic risk and stochastic games with delay. (English) Zbl 1418.91062 J. Optim. Theory Appl. 179, No. 2, 366-399 (2018). MSC: 91A15 91G99 60H10 49L20 PDFBibTeX XMLCite \textit{R. Carmona} et al., J. Optim. Theory Appl. 179, No. 2, 366--399 (2018; Zbl 1418.91062) Full Text: DOI arXiv
Fuhrman, Marco; Hu, Ying; Tessitore, Gianmario Stochastic maximum principle for optimal control of partial differential equations driven by white noise. (English) Zbl 1406.93384 Stoch. Partial Differ. Equ., Anal. Comput. 6, No. 2, 255-285 (2018). MSC: 93E20 60H15 60H40 49K45 93C25 93C20 PDFBibTeX XMLCite \textit{M. Fuhrman} et al., Stoch. Partial Differ. Equ., Anal. Comput. 6, No. 2, 255--285 (2018; Zbl 1406.93384) Full Text: DOI arXiv HAL
Zhou, Jianjun A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation. (English) Zbl 1401.93234 ESAIM, Control Optim. Calc. Var. 24, No. 2, 639-676 (2018). MSC: 93E20 60H30 49L25 PDFBibTeX XMLCite \textit{J. Zhou}, ESAIM, Control Optim. Calc. Var. 24, No. 2, 639--676 (2018; Zbl 1401.93234) Full Text: DOI
Socgnia, Virginie Konlack; Pamen, Olivier Menoukeu A maximum principle for controlled stochastic factor model. (English) Zbl 1401.93231 ESAIM, Control Optim. Calc. Var. 24, No. 2, 495-517 (2018). MSC: 93E20 60H15 93C20 91G10 49K45 PDFBibTeX XMLCite \textit{V. K. Socgnia} and \textit{O. M. Pamen}, ESAIM, Control Optim. Calc. Var. 24, No. 2, 495--517 (2018; Zbl 1401.93231) Full Text: DOI
Wrzosek, Monika; Ziemlańska, Maria The method of lines for hyperbolic stochastic functional partial differential equations. (English) Zbl 1488.60167 Czech. Math. J. 68, No. 2, 323-339 (2018). MSC: 60H15 35R60 49M25 PDFBibTeX XMLCite \textit{M. Wrzosek} and \textit{M. Ziemlańska}, Czech. Math. J. 68, No. 2, 323--339 (2018; Zbl 1488.60167) Full Text: DOI
Bonaccorsi, Stefano; Zălinescu, Adrian Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions. (English) Zbl 1387.93182 J. Math. Anal. Appl. 465, No. 1, 359-378 (2018). MSC: 93E20 49K45 60H15 49J55 PDFBibTeX XMLCite \textit{S. Bonaccorsi} and \textit{A. Zălinescu}, J. Math. Anal. Appl. 465, No. 1, 359--378 (2018; Zbl 1387.93182) Full Text: DOI arXiv
Wang, Zimeng; Hodge, David J.; Le, Huiling Conjugate duality in stochastic controls with delay. (English) Zbl 1429.93420 Adv. Appl. Probab. 49, No. 4, 1011-1036 (2017). MSC: 93E20 49N15 60H07 PDFBibTeX XMLCite \textit{Z. Wang} et al., Adv. Appl. Probab. 49, No. 4, 1011--1036 (2017; Zbl 1429.93420) Full Text: DOI Link
Zhang, Feng Maximum principle for near-optimality of stochastic delay control problem. (English) Zbl 1422.93190 Adv. Difference Equ. 2017, Paper No. 98, 19 p. (2017). MSC: 93E20 49K45 60H10 49J55 34K50 PDFBibTeX XMLCite \textit{F. Zhang}, Adv. Difference Equ. 2017, Paper No. 98, 19 p. (2017; Zbl 1422.93190) Full Text: DOI
Levajković, Tijana; Mena, Hermann; Tuffaha, Amjad The stochastic LQR optimal control with fractional Brownian motion. (English) Zbl 1385.49018 Oberguggenberger, Michael (ed.) et al., Generalized functions and Fourier analysis. Dedicated to Stevan Pilipović on the occasion of his 65th birthday. Contributions of the 8th, 9th and 10th ISAAC congresses, Moscow, Russia, 2011, Krakow, Poland, 2013 and Macau, China, 2015. Basel: Birkhäuser/Springer (ISBN 978-3-319-51910-4/hbk; 978-3-319-51911-1/ebook). Operator Theory: Advances and Applications 260. Advances in Partial Differential Equations, 115-151 (2017). MSC: 49K45 93E20 60H07 49N10 60G22 PDFBibTeX XMLCite \textit{T. Levajković} et al., Oper. Theory: Adv. Appl. 260, 115--151 (2017; Zbl 1385.49018) Full Text: DOI
Wu, Shuang; Shu, Lan Maximum principle for partially-observed optimal control problems of stochastic delay systems. (English) Zbl 1370.93328 J. Syst. Sci. Complex. 30, No. 2, 316-328 (2017). MSC: 93E20 49K45 60H10 49N10 PDFBibTeX XMLCite \textit{S. Wu} and \textit{L. Shu}, J. Syst. Sci. Complex. 30, No. 2, 316--328 (2017; Zbl 1370.93328) Full Text: DOI
Qiu, Jinniao Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations. (English) Zbl 1367.60084 Stochastic Processes Appl. 127, No. 6, 1926-1959 (2017). MSC: 60H15 35R60 35D30 49L20 93E20 PDFBibTeX XMLCite \textit{J. Qiu}, Stochastic Processes Appl. 127, No. 6, 1926--1959 (2017; Zbl 1367.60084) Full Text: DOI arXiv
Buckdahn, Rainer; Jing, Shuai Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem. (English) Zbl 1361.93066 SIAM J. Control Optim. 55, No. 3, 1500-1533 (2017). MSC: 93E20 60H10 60J65 60H35 49K45 PDFBibTeX XMLCite \textit{R. Buckdahn} and \textit{S. Jing}, SIAM J. Control Optim. 55, No. 3, 1500--1533 (2017; Zbl 1361.93066) Full Text: DOI arXiv
Hafizoglu, Cavit; Lasiecka, Irena; Levajković, Tijana; Mena, Hermann; Tuffaha, Amjad The stochastic linear quadratic control problem with singular estimates. (English) Zbl 1358.49029 SIAM J. Control Optim. 55, No. 2, 595-626 (2017). MSC: 49N10 93E20 93C20 35M10 49K20 PDFBibTeX XMLCite \textit{C. Hafizoglu} et al., SIAM J. Control Optim. 55, No. 2, 595--626 (2017; Zbl 1358.49029) Full Text: DOI
Orrieri, Carlo; Veverka, Petr Necessary stochastic maximum principle for dissipative systems on infinite time horizon. (English) Zbl 1354.93178 ESAIM, Control Optim. Calc. Var. 23, No. 1, 337-371 (2017). MSC: 93E20 60H10 49K45 PDFBibTeX XMLCite \textit{C. Orrieri} and \textit{P. Veverka}, ESAIM, Control Optim. Calc. Var. 23, No. 1, 337--371 (2017; Zbl 1354.93178) 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 PDFBibTeX XMLCite \textit{A. Al-Hussein}, Springer Proc. Math. Stat. 158, 149--171 (2016; Zbl 1403.93192) Full Text: DOI arXiv
Levajković, Tijana; Mena, Hermann; Tuffaha, Amjad The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach. (English) Zbl 1350.49019 Evol. Equ. Control Theory 5, No. 1, 105-134 (2016). MSC: 49J55 49N10 49M30 60H10 60H30 60H05 60H40 93E20 15A24 PDFBibTeX XMLCite \textit{T. Levajković} et al., Evol. Equ. Control Theory 5, No. 1, 105--134 (2016; Zbl 1350.49019) Full Text: DOI
Meng, Qingxin; Shen, Yang Optimal control for stochastic delay evolution equations. (English) Zbl 1347.49040 Appl. Math. Optim. 74, No. 1, 53-89 (2016). MSC: 49K45 49J55 60H10 60H15 93E20 PDFBibTeX XMLCite \textit{Q. Meng} and \textit{Y. Shen}, Appl. Math. Optim. 74, No. 1, 53--89 (2016; Zbl 1347.49040) Full Text: DOI
Dahl, K.; Mohammed, S.-E. A.; Øksendal, B.; Røse, E. E. Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives. (English) Zbl 1339.93121 J. Funct. Anal. 271, No. 2, 289-329 (2016). MSC: 93E20 60J75 60H07 34K50 49K45 60H10 PDFBibTeX XMLCite \textit{K. Dahl} et al., J. Funct. Anal. 271, No. 2, 289--329 (2016; Zbl 1339.93121) Full Text: DOI arXiv
Øksendal, Bernt; Sulem, Agnès Optimal control of predictive mean-field equations and applications to finance. (English) Zbl 1341.49032 Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 301-320 (2016). MSC: 49K45 60H10 60H30 93E20 60J65 60J75 60G57 60G55 91G10 91G80 PDFBibTeX XMLCite \textit{B. Øksendal} and \textit{A. Sulem}, Springer Proc. Math. Stat. 138, 301--320 (2016; Zbl 1341.49032) Full Text: DOI arXiv
Wang, Qiuxi; Chen, Feng; Huang, Fushan Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions. (English) Zbl 1333.93266 Optim. Control Appl. Methods 37, No. 1, 90-107 (2016). MSC: 93E20 49K45 60H10 49N10 PDFBibTeX XMLCite \textit{Q. Wang} et al., Optim. Control Appl. Methods 37, No. 1, 90--107 (2016; Zbl 1333.93266) Full Text: DOI
Rosić, Bojana V.; Matthies, Hermann G. Variational theory and computations in stochastic plasticity. (English) Zbl 1348.74063 Arch. Comput. Methods Eng. 22, No. 3, 457-509 (2015). MSC: 74C05 74P10 65K10 49J10 PDFBibTeX XMLCite \textit{B. V. Rosić} and \textit{H. G. Matthies}, Arch. Comput. Methods Eng. 22, No. 3, 457--509 (2015; Zbl 1348.74063) Full Text: DOI
Chen, Li; Huang, Jianhui Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation. (English) Zbl 1339.93120 J. Optim. Theory Appl. 167, No. 3, 1112-1135 (2015). MSC: 93E20 49K45 60H10 PDFBibTeX XMLCite \textit{L. Chen} and \textit{J. Huang}, J. Optim. Theory Appl. 167, No. 3, 1112--1135 (2015; Zbl 1339.93120) Full Text: DOI arXiv
Agram, Nacira; Øksendal, Bernt Malliavin calculus and optimal control of stochastic Volterra equations. (English) Zbl 1335.60121 J. Optim. Theory Appl. 167, No. 3, 1070-1094 (2015). MSC: 60H20 60H07 49K45 93E20 PDFBibTeX XMLCite \textit{N. Agram} and \textit{B. Øksendal}, J. Optim. Theory Appl. 167, No. 3, 1070--1094 (2015; Zbl 1335.60121) Full Text: DOI arXiv
Menoukeu Pamen, Olivier Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach. (English) Zbl 1381.49041 J. Optim. Theory Appl. 167, No. 3, 998-1031 (2015). Reviewer: Vivek S. Borkar (Mumbai) MSC: 49N70 91A15 91A23 93E20 60H10 60H30 91G80 60G30 PDFBibTeX XMLCite \textit{O. Menoukeu Pamen}, J. Optim. Theory Appl. 167, No. 3, 998--1031 (2015; Zbl 1381.49041) Full Text: DOI
Draouil, Olfa; Øksendal, Bernt A Donsker delta functional approach to optimal insider control and applications to finance. (English) Zbl 1341.49029 Commun. Math. Stat. 3, No. 3, 365-421 (2015); erratum ibid. 3, No. 4, 535-540 (2015). MSC: 49K45 49J55 93E20 60H30 60H07 60H40 60H05 60H10 60J75 91G10 91G80 93E10 PDFBibTeX XMLCite \textit{O. Draouil} and \textit{B. Øksendal}, Commun. Math. Stat. 3, No. 3, 365--421 (2015; Zbl 1341.49029) Full Text: DOI arXiv Link
Øksendal, Bernt; Sulem, Agnès Risk minimization in financial markets modeled by Itô-Lévy processes. (English) Zbl 1334.60122 Afr. Mat. 26, No. 5-6, 939-979 (2015). MSC: 60H30 60H10 60H20 60G51 60J75 93E20 49K45 49N90 49N70 91G80 91B30 91G10 91B70 91A15 91A23 PDFBibTeX XMLCite \textit{B. Øksendal} and \textit{A. Sulem}, Afr. Mat. 26, No. 5--6, 939--979 (2015; Zbl 1334.60122) Full Text: DOI arXiv
Maticiuc, Lucian; Nie, Tianyang Fractional backward stochastic differential equations and fractional backward variational inequalities. (English) Zbl 1319.60133 J. Theor. Probab. 28, No. 1, 337-395 (2015). Reviewer: Toader Morozan (Bucureşti) MSC: 60H10 60G22 49J40 60H07 60H05 47N30 PDFBibTeX XMLCite \textit{L. Maticiuc} and \textit{T. Nie}, J. Theor. Probab. 28, No. 1, 337--395 (2015; Zbl 1319.60133) Full Text: DOI arXiv
Meng, Qingxin; Shen, Yang Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach. (English) Zbl 1312.49028 J. Comput. Appl. Math. 279, 13-30 (2015). MSC: 49K45 49J55 93E20 60H10 60J60 60J75 PDFBibTeX XMLCite \textit{Q. Meng} and \textit{Y. Shen}, J. Comput. Appl. Math. 279, 13--30 (2015; Zbl 1312.49028) Full Text: DOI
Agram, Nacira; Øksendal, Bernt Infinite horizon optimal control of forward-backward stochastic differential equations with delay. (English) Zbl 1320.60121 J. Comput. Appl. Math. 259 B, 336-349 (2014). MSC: 60H10 93E20 60H20 49K45 34K50 60J75 65C30 PDFBibTeX XMLCite \textit{N. Agram} and \textit{B. Øksendal}, J. Comput. Appl. Math. 259, Part B, 336--349 (2014; Zbl 1320.60121) Full Text: DOI arXiv
Sun, Yudong; Shi, Yimin; Gu, Xin An integro-differential parabolic variational inequality arising from the valuation of double barrier American option. (English) Zbl 1306.49016 J. Syst. Sci. Complex. 27, No. 2, 276-288 (2014). MSC: 49J40 35K86 35K55 91G10 PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Syst. Sci. Complex. 27, No. 2, 276--288 (2014; Zbl 1306.49016) Full Text: DOI
Maslowski, Bohdan; Veverka, Petr Sufficient stochastic maximum principle for discounted control problem. (English) Zbl 1303.93189 Appl. Math. Optim. 70, No. 2, 225-252 (2014). MSC: 93E20 49K45 60H10 PDFBibTeX XMLCite \textit{B. Maslowski} and \textit{P. Veverka}, Appl. Math. Optim. 70, No. 2, 225--252 (2014; Zbl 1303.93189) Full Text: DOI arXiv
Shen, Yang; Meng, Qingxin; Shi, Peng Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance. (English) Zbl 1296.93205 Automatica 50, No. 6, 1565-1579 (2014). MSC: 93E20 49K45 60H15 91G10 PDFBibTeX XMLCite \textit{Y. Shen} et al., Automatica 50, No. 6, 1565--1579 (2014; Zbl 1296.93205) Full Text: DOI
Huschto, Tony; Sager, Sebastian Solving stochastic optimal control problems by a Wiener chaos approach. (English) Zbl 1292.93150 Vietnam J. Math. 42, No. 1, 83-113 (2014). MSC: 93E20 60H35 49J15 PDFBibTeX XMLCite \textit{T. Huschto} and \textit{S. Sager}, Vietnam J. Math. 42, No. 1, 83--113 (2014; Zbl 1292.93150) Full Text: DOI
Al-Hussein, Abdulrahman Necessary conditions for optimality for stochastic evolution equations. (English) Zbl 1292.49026 Abstr. Appl. Anal. 2013, Article ID 469390, 9 p. (2013). MSC: 49K45 60H10 93E20 34F05 PDFBibTeX XMLCite \textit{A. Al-Hussein}, Abstr. Appl. Anal. 2013, Article ID 469390, 9 p. (2013; Zbl 1292.49026) Full Text: DOI arXiv
Fuhrman, Marco; Hu, Ying; Tessitore, Gianmario Stochastic maximum principle for optimal control of SPDEs. (English) Zbl 1282.93274 Appl. Math. Optim. 68, No. 2, 181-217 (2013). MSC: 93E20 49K45 60H15 PDFBibTeX XMLCite \textit{M. Fuhrman} et al., Appl. Math. Optim. 68, No. 2, 181--217 (2013; Zbl 1282.93274) Full Text: DOI arXiv
Xiang, KaiNan Large deviations under a viewpoint of metric geometry: measure-valued process cases. (English) Zbl 1291.60167 Sci. China, Math. 56, No. 11, 2335-2351 (2013). MSC: 60J68 60F10 60G57 49Q20 PDFBibTeX XMLCite \textit{K. Xiang}, Sci. China, Math. 56, No. 11, 2335--2351 (2013; Zbl 1291.60167) Full Text: DOI
Han, Yuecai; Hu, Yaozhong; Song, Jian Maximum principle for general controlled systems driven by fractional Brownian motions. (English) Zbl 1270.49021 Appl. Math. Optim. 67, No. 2, 279-322 (2013). MSC: 49K45 93E20 34F05 60H10 PDFBibTeX XMLCite \textit{Y. Han} et al., Appl. Math. Optim. 67, No. 2, 279--322 (2013; Zbl 1270.49021) Full Text: DOI arXiv
Lempa, Jukka Optimal stopping with information constraint. (English) Zbl 1269.93134 Appl. Math. Optim. 66, No. 2, 147-173 (2012). MSC: 93E20 49L20 91G10 PDFBibTeX XMLCite \textit{J. Lempa}, Appl. Math. Optim. 66, No. 2, 147--173 (2012; Zbl 1269.93134) Full Text: DOI Link
Federico, Salvatore A stochastic control problem with delay arising in a pension fund model. (English) Zbl 1302.93238 Finance Stoch. 15, No. 3, 421-459 (2011). MSC: 93E20 91G80 49L25 PDFBibTeX XMLCite \textit{S. Federico}, Finance Stoch. 15, No. 3, 421--459 (2011; Zbl 1302.93238) Full Text: DOI
Zhikov, V. V. On variational problems and nonlinear elliptic equations with nonstandard growth conditions. (English. Russian original) Zbl 1279.49005 J. Math. Sci., New York 173, No. 5, 463-570 (2011); translation from Probl. Mat. Anal. 54, 23-112 (2011). MSC: 49J20 49J45 35J60 PDFBibTeX XMLCite \textit{V. V. Zhikov}, J. Math. Sci., New York 173, No. 5, 463--570 (2011; Zbl 1279.49005); translation from Probl. Mat. Anal. 54, 23--112 (2011) Full Text: DOI
Hou, L. S.; Lee, J.; Manouzi, H. Finite element approximations of stochastic optimal control problems constrained by stochastic elliptic PDEs. (English) Zbl 1227.65011 J. Math. Anal. Appl. 384, No. 1, 87-103 (2011). Reviewer: Grigori N. Milstein (Yekaterinburg) MSC: 65C30 65K10 60H15 35R60 49J55 PDFBibTeX XMLCite \textit{L. S. Hou} et al., J. Math. Anal. Appl. 384, No. 1, 87--103 (2011; Zbl 1227.65011) Full Text: DOI
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. (English) Zbl 1217.93183 Adv. Appl. Probab. 43, No. 2, 572-596 (2011). MSC: 93E20 60J75 60H10 60H15 60H20 49J55 35R60 PDFBibTeX XMLCite \textit{B. Øksendal} et al., Adv. Appl. Probab. 43, No. 2, 572--596 (2011; Zbl 1217.93183) Full Text: DOI Euclid
Øksendal, Bernt; Zhang, Tusheng Optimal control with partial information for stochastic Volterra equations. (English) Zbl 1214.49033 Int. J. Stoch. Anal. 2010, Article ID 329185, 25 p. (2010). MSC: 49N10 93E20 49J45 49K45 PDFBibTeX XMLCite \textit{B. Øksendal} and \textit{T. Zhang}, Int. J. Stoch. Anal. 2010, Article ID 329185, 25 p. (2010; Zbl 1214.49033) Full Text: DOI EuDML
Konjik, Sanja; Kunzinger, Michael; Oberguggenberger, Michael Foundations of the calculus of variations in generalized function algebras. (English) Zbl 1146.49021 Acta Appl. Math. 103, No. 2, 169-199 (2008). MSC: 49K27 49J27 46F30 37K05 PDFBibTeX XMLCite \textit{S. Konjik} et al., Acta Appl. Math. 103, No. 2, 169--199 (2008; Zbl 1146.49021) Full Text: DOI arXiv
Flandoli, Franco; Gubinelli, Massimiliano; Giaquinta, Mariano; Tortorelli, Vincenzo M. Stochastic currents. (English) Zbl 1087.60043 Stochastic Processes Appl. 115, No. 9, 1583-1601 (2005). Reviewer: Xuan Loc Nguyen (Hanoi) MSC: 60H05 49Q15 PDFBibTeX XMLCite \textit{F. Flandoli} et al., Stochastic Processes Appl. 115, No. 9, 1583--1601 (2005; Zbl 1087.60043) Full Text: DOI arXiv
Framstad, Nils Chr. Non-robustness with respect to intervention costs in optimal control. (English) Zbl 1062.49026 Stochastic Anal. Appl. 22, No. 2, 333-340 (2004). MSC: 49N25 49K45 93E20 PDFBibTeX XMLCite \textit{N. Chr. Framstad}, Stochastic Anal. Appl. 22, No. 2, 333--340 (2004; Zbl 1062.49026) Full Text: DOI