Extended Dynamic Programming Principle and Applications to Time-Inconsistent Control
Fuente:
arXiv
Guardado en:
| Autores principales: | Xu, Yuhong, Yang, Shuzhen |
|---|---|
| Formato: | Preprint |
| Publicado: |
2022
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
por: Dong, Huanqing, et al.
Publicado: (2025)
por: Dong, Huanqing, et al.
Publicado: (2025)
Relationship between MP and DPP for Risk-Sensitive Stochastic Optimal Control Problems: Viscosity Solution Framework
por: Dong, Huanqing, et al.
Publicado: (2026)
por: Dong, Huanqing, et al.
Publicado: (2026)
Maximum principle for stochastic optimal control problem under convex expectation
por: Li, Xiaojuan, et al.
Publicado: (2024)
por: Li, Xiaojuan, et al.
Publicado: (2024)
Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
por: Li, Xiaojuan, et al.
Publicado: (2024)
por: Li, Xiaojuan, et al.
Publicado: (2024)
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov Diffusions and Interacting Particle Systems
por: Pradhan, Somnath, et al.
Publicado: (2025)
por: Pradhan, Somnath, et al.
Publicado: (2025)
Pontryagin Maximum Principle for McKean-Vlasov Stochastic Reaction-Diffusion Equations
por: Spille, Johan Benedikt, et al.
Publicado: (2025)
por: Spille, Johan Benedikt, et al.
Publicado: (2025)
The perturbation method applied to a robust optimization problem with constraint
por: Luo, Peng, et al.
Publicado: (2024)
por: Luo, Peng, et al.
Publicado: (2024)
Controlled superprocesses and HJB equation in the space of finite measures
por: Ocello, Antonio
Publicado: (2023)
por: Ocello, Antonio
Publicado: (2023)
Global Maximum Principle for Partially Observed Risk-Sensitive Progressive Optimal Control of FBSDE with Poisson Jumps
por: Lin, Jingtao, et al.
Publicado: (2025)
por: Lin, Jingtao, et al.
Publicado: (2025)
Infinite Time Horizon Optimal Control of McKean-Vlasov SDEs
por: Rudà, Silvia
Publicado: (2025)
por: Rudà, Silvia
Publicado: (2025)
Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
por: Anita, Stefana-Lucia, et al.
Publicado: (2025)
por: Anita, Stefana-Lucia, et al.
Publicado: (2025)
The mean-field control problem for heterogeneous forward-backward systems
por: Sojmark, Andreas, et al.
Publicado: (2026)
por: Sojmark, Andreas, et al.
Publicado: (2026)
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
por: de Feo, Filippo
Publicado: (2023)
por: de Feo, Filippo
Publicado: (2023)
A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
por: Wang, Bin, et al.
Publicado: (2024)
por: Wang, Bin, et al.
Publicado: (2024)
Mean field games of major-minor agents with recursive functionals
por: Huang, Jianhui, et al.
Publicado: (2024)
por: Huang, Jianhui, et al.
Publicado: (2024)
Optimal control of stochastic delay differential equations: Optimal feedback controls
por: de Feo, Filippo, et al.
Publicado: (2023)
por: de Feo, Filippo, et al.
Publicado: (2023)
Stochastic optimal control in Hilbert spaces: $C^{1,1}$ regularity of the value function and optimal synthesis via viscosity solutions
por: de Feo, Filippo, et al.
Publicado: (2023)
por: de Feo, Filippo, et al.
Publicado: (2023)
Stochastic Control with Signatures
por: Bank, P., et al.
Publicado: (2024)
por: Bank, P., et al.
Publicado: (2024)
Optimality Conditions for Control Systems Governed by Monotone Stochastic Evolution Equations
por: Ciotir, Ioana, et al.
Publicado: (2025)
por: Ciotir, Ioana, et al.
Publicado: (2025)
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
por: Hu, Mingshang, et al.
Publicado: (2023)
por: Hu, Mingshang, et al.
Publicado: (2023)
Optimal control of heterogeneous mean-field stochastic differential equations with common noise and applications to financial models
por: de Feo, Filippo, et al.
Publicado: (2025)
por: de Feo, Filippo, et al.
Publicado: (2025)
Stochastic Optimal Control of Interacting Particle Systems in Hilbert Spaces and Applications
por: de Feo, Filippo, et al.
Publicado: (2025)
por: de Feo, Filippo, et al.
Publicado: (2025)
Policy Gradient for Continuous-Time Mean-Field Control
por: Bayraktar, Erhan, et al.
Publicado: (2026)
por: Bayraktar, Erhan, et al.
Publicado: (2026)
Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes
por: Ye, Yuyang, et al.
Publicado: (2024)
por: Ye, Yuyang, et al.
Publicado: (2024)
Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
por: Horst, Ulrich, et al.
Publicado: (2025)
por: Horst, Ulrich, et al.
Publicado: (2025)
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
por: Karoui, Nicole El, et al.
Publicado: (2013)
por: Karoui, Nicole El, et al.
Publicado: (2013)
Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications
por: Tang, Shanjian, et al.
Publicado: (2024)
por: Tang, Shanjian, et al.
Publicado: (2024)
A measure-valued HJB perspective on Bayesian optimal adaptive control
por: Cox, Alexander M. G., et al.
Publicado: (2025)
por: Cox, Alexander M. G., et al.
Publicado: (2025)
A Partially Observed Stochastic Linear Stackelberg Differential Game with Poisson Jumps under Mean-Variance Criteria
por: Lin, Jingtao, et al.
Publicado: (2026)
por: Lin, Jingtao, et al.
Publicado: (2026)
A stochastic maximum principle for singular mean-field regime-switching optimal control
por: Somé, Maalvladédon Ganet, et al.
Publicado: (2025)
por: Somé, Maalvladédon Ganet, et al.
Publicado: (2025)
A Novel Approach to Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations
por: Spille, Johan Benedikt, et al.
Publicado: (2026)
por: Spille, Johan Benedikt, et al.
Publicado: (2026)
A class of stochastic control problems with state constraints
por: De Angelis, Tiziano, et al.
Publicado: (2026)
por: De Angelis, Tiziano, et al.
Publicado: (2026)
A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls
por: Shi, Jingtao, et al.
Publicado: (2020)
por: Shi, Jingtao, et al.
Publicado: (2020)
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
por: Li, Lin, et al.
Publicado: (2026)
por: Li, Lin, et al.
Publicado: (2026)
Controlled Occupied Processes and Viscosity Solutions
por: Soner, H. Mete, et al.
Publicado: (2024)
por: Soner, H. Mete, et al.
Publicado: (2024)
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
por: Li, Lin, et al.
Publicado: (2026)
por: Li, Lin, et al.
Publicado: (2026)
An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
por: Wang, Qiming, et al.
Publicado: (2024)
por: Wang, Qiming, et al.
Publicado: (2024)
The Optimal Control Problem of Stochastic Differential System with Extended Mixed Delays and Applications
por: Li, Xinpo, et al.
Publicado: (2026)
por: Li, Xinpo, et al.
Publicado: (2026)
MP and DPP for Mean-Variance Portfolio Selection Problem with Poisson Jumps, Recursive Utility and Their Relationship
por: Zhang, Qiyue, et al.
Publicado: (2025)
por: Zhang, Qiyue, et al.
Publicado: (2025)
Maximum Principle of Stochastic Optimal Control Problems with Model Uncertainty
por: Hao, Tao, et al.
Publicado: (2023)
por: Hao, Tao, et al.
Publicado: (2023)
Ejemplares similares
-
Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
por: Dong, Huanqing, et al.
Publicado: (2025) -
Relationship between MP and DPP for Risk-Sensitive Stochastic Optimal Control Problems: Viscosity Solution Framework
por: Dong, Huanqing, et al.
Publicado: (2026) -
Maximum principle for stochastic optimal control problem under convex expectation
por: Li, Xiaojuan, et al.
Publicado: (2024) -
Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
por: Li, Xiaojuan, et al.
Publicado: (2024) -
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov Diffusions and Interacting Particle Systems
por: Pradhan, Somnath, et al.
Publicado: (2025)