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Existence of optimal markovian controls for degenerate diffusions · Study

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ChapterExistence of optimal markovian controls for degenerate diffusions

U. G. Haussmann2006

Chapter2006

Existence of optimal markovian controls for degenerate diffusions

U. G. Haussmann

41 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Adaptive Dynamic Programming Control

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References

1980Controlled Diffusion Processes 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1981Les Aspects Probabilistes Du Controle Stochastique 1971Existence of Optimal Stochastic Control Laws 1976Théorie probabiliste du contrôle des diffusions 1986A stochastic maximum principle for optimal control of diffusions 1973On the Existence of Optimal Policies in Stochastic Control 1983On the Hamilton-Jacobi-Bellman equations

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2006Approximation and optimality necessary conditions in relaxed stochastic control problems 1989A topology for Markov controls 2011Existence of optimal controls for systems driven by FBSDEs

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1987Compactification methods in the control of degenerate diffusions: existence of an optimal controlarticle · 4 shared references 2008Martingale approach to stochastic differential games of control and stoppingarticle · 4 shared references 2006Martingale Approach to Stochastic Control with Discretionary Stoppingarticle · 4 shared references 1997Non-linear pricing theory and backward stochastic differential equationschapter · 3 shared references 1990On the Existence of Optimal Controlsarticle · 3 shared references 2005Martingale methods in stochastic controlchapter · 3 shared references

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Year2006

Typechapter

Published2006-02-06

VenueSpringer eBooks

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0041161

openalex_workW119526149

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