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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是1-10 订阅
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dynamic programming principle for stochastic optimal control problem under degenerate G-expectation
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SYSTEMS & CONTROL LETTERS 2025年 196卷
作者: Li, Xiaojuan Qilu Normal Univ Dept Math Jinan 250200 Peoples R China
In this paper, we study a stochastic optimal control problem under degenerate G-expectation. By using implied partition method, we show that the approximation result for admissible controls still hold. Based on this r... 详细信息
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Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
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OPTIMAL CONTROL APPLICATIONS & METHODS 2023年 第5期44卷 2457-2475页
作者: Li, Xiaojuan Shandong Univ Zhongtai Secur Inst Financial Studies Jinan Peoples R China Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Peoples R China
In this article, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for stochastic recursive optimal control problem driven by G-Brownian motion. Under the smooth assumpti... 详细信息
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dynamic programming principle for Classical and Singular Stochastic Control with Discretionary Stopping
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APPLIED MATHEMATICS AND OPTIMIZATION 2023年 第1期88卷 7-7页
作者: De Angelis, Tiziano Milazzo, Alessandro Univ Torino Sch Management & Econ Dept ESOMAS Cso Unione Sovietica 218bis I-10134 Turin Italy Coll Carlo Alberto Pza Arbarello 8 I-10122 Turin Italy Uppsala Univ Dept Math Box 480 S-75106 Uppsala Sweden
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a d-dimensional diffusive dynamics via both classical and singular controls and, moreover, is able to terminate the optim... 详细信息
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dynamic programming principle and computable prices in financial market models with transaction costs
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JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 2023年 第2期524卷
作者: Lepinette, Emmanuel Vu, Duc Thinh Paris Dauphine Univ Ceremade CNRS PSL Natl ResUMR 7534 Pl Marechal De Lattre Tassigny F-75775 Paris 16 France Fac Sci Tunis Gosaef Tunis Tunisia
How to compute (super) hedging costs in rather general financial market models with transaction costs in discrete-time? Despite the huge literature on this topic, most of results are characterizations of the super-hed... 详细信息
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dynamic programming principle and Hamilton-Jacobi-Bellman Equation under nonlinear expectation
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2022年 第0期28卷 25-25页
作者: Hu, Mingshang Ji, Shaolin Li, Xiaojuan Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China
In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE) under G-expectation. Under standard... 详细信息
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dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation
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Fundamental Research 2024年
作者: Li, Yunhong Matoussi, Anis Wei, Lifeng Wu, Zhen Department of Applied Mathematics The Hong Kong Polytechnic University Hong Kong Risk and Insurance Institute of Le Mans Laboratoire Manceau de Mathématiques Le Mans University Sarthe Le Mans 72000 France School of Mathematical Sciences Ocean University of China Shandong Qingdao 266003 China Laboratory of Marine Mathematics Ocean University of China Shandong Qingdao 266003 China School of Mathematics Shandong University Shandong Jinan 250100 China
In this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation. We present the... 详细信息
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MCKEAN-VLASOV OPTIMAL CONTROL: THE dynamic programming principle
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ANNALS OF PROBABILITY 2022年 第2期50卷 791-833页
作者: Djete, Mao Fabrice Possamai, Dylan Tan, Xiaolu Ecole Polytech Paris France Swiss Fed Inst Technol Dept Math Zurich Switzerland Chinese Univ Hong Kong Dept Math Hong Kong Peoples R China
We study the McKean-Vlasov optimal control problem with common noise which allow the law of the control process to appear in the state dynamics under various formulations: strong and weak ones, Markovian or non-Markov... 详细信息
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dynamic programming principle AND HAMILTON-JACOBI-BELLMAN EQUATIONS FOR FRACTIONAL-ORDER SYSTEMS
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2020年 第6期58卷 3185-3211页
作者: Gomoyunov, Mikhail, I Russian Acad Sci Ural Branch NN Krasovskii Inst Math & Mech Ekaterinburg 620108 Russia Ural Fed Univ Ekaterinburg 620002 Russia
We consider a Bolza-type optimal control problem for a dynamical system described by a fractional differential equation with the Caputo derivative of an order alpha is an element of (0, 1). The value of this problem i... 详细信息
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The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2024年 30卷
作者: Dong, Yuchao Meng, Qingxin Zhang, Qi Tongji Univ Sch Math Sci Key Lab Intelligent Comp & Applicat Minist Educ Shanghai 200092 Peoples R China Huzhou Univ Dept Math Sci Huzhou 313000 Zhejiang Peoples R China Fudan Univ Sch Math Sci Shanghai 200433 Peoples R China Fudan Univ Lab Math Nonlinear Sci Shanghai 200433 Peoples R China
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coeff... 详细信息
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A Framework for the dynamic programming principle and Martingale-Generated Control Correspondences
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APPLIED MATHEMATICS AND OPTIMIZATION 2021年 第3期83卷 1311-1352页
作者: Fayvisovich, Roman Zitkovic, Gordan Univ Texas Austin Dept Math Austin TX 78712 USA
We construct an abstract framework in which the dynamic programming principle (DPP) can be readily proven. It encompasses a broad range of common stochastic control problems in the weak formulation, and deals with pro... 详细信息
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