Stochastic global maximum principle for optimization with recursive utilities

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Cite
Hu, Mingshang. “Stochastic Global Maximum Principle for Optimization With Recursive Utilities”. Probability, Uncertainty and Quantitative Risk, vol. 2, no. 1, 2017, https://doi.org/10.1186/s41546-017-0014-7.
Hu, M. (2017). Stochastic global maximum principle for optimization with recursive utilities. Probability, Uncertainty and Quantitative Risk, 2(1). https://doi.org/10.1186/s41546-017-0014-7
Hu, Mingshang. “Stochastic Global Maximum Principle for Optimization With Recursive Utilities”. Probability, Uncertainty and Quantitative Risk 2, no. 1 (2017). https://doi.org/10.1186/s41546-017-0014-7.
Hu M. Stochastic global maximum principle for optimization with recursive utilities. Probability, Uncertainty and Quantitative Risk. 2017;2(1).
Journal Category
Science
Mathematics
Probabilities
Mathematical statistics
Refrences
Title Journal Journal Categories Citations Publication Date
A general maximum principle for optimal control of forward–backward stochastic systems Automatica
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 72 2013
Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions SIAM Journal on Control and Optimization
  • Technology: Mechanical engineering and machinery
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
 84 2010
10.4310/CIS.2006.v6.n4.a4 2006
10.1016/S0304-4149(03)00089-9 Stochastic Processes and their Applications
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2003
Ambiguity, Risk, and Asset Returns in Continuous Time Econometrica
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 677 2002
Refrences Analysis
Category Category Repetition
Science: Mathematics16
Technology: Engineering (General). Civil engineering (General)11
Technology: Mechanical engineering and machinery7
Social Sciences: Economic theory. Demography: Economics as a science6
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods6
Science: Mathematics: Probabilities. Mathematical statistics4
Social Sciences: Statistics3
Social Sciences: Commerce: Business3
Social Sciences: Finance1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics1
The category Science: Mathematics 16 is the most frequently represented among the references in this article. It primarily includes studies from SIAM Journal on Control and Optimization The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
Title Journal Journal Categories Citations Publication Date
A Global Optimality Principle for Fully Coupled Mean-field Control Systems Acta Mathematicae Applicatae Sinica, English Series
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2024
Second-order necessary condition for partially observed stochastic system with random jumps Systems & Control Letters
  • Technology: Mechanical engineering and machinery
  • Technology: Manufactures: Production management. Operations management
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 1 2024
First- and Second-Order Maximum Principles for Discrete-Time Stochastic Optimal Control With Recursive Utilities IEEE Transactions on Automatic Control
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 2024
A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications Mathematical Control and Related Fields
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2024
Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems Journal of Mathematical Analysis and Applications
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2023
Citations Analysis
Category Category Repetition
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods25
Technology: Engineering (General). Civil engineering (General)23
Technology: Mechanical engineering and machinery21
Science: Mathematics20
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics9
Technology: Manufactures: Production management. Operations management8
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Science: Mathematics: Probabilities. Mathematical statistics1
The category Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods 25 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case and was published in 2017. The most recent citation comes from a 2024 study titled A Global Optimality Principle for Fully Coupled Mean-field Control Systems. This article reached its peak citation in 2023, with 7 citations. It has been cited in 15 different journals. Among related journals, the SIAM Journal on Control and Optimization cited this research the most, with 8 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year