Classical solutions of linear regulator for degenerate diffusions.
Comparison principle approach to utility maximization
We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.
Composite semi-infinite optimization
Contrôle de processus de Markov
Contrôle des systèmes linéaires quadratiques : applications de l'intégrale stochastique