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Existence of optimal markovian controls for degenerate diffusions
9 references·3 citing·36 second hop
Existence of optimal markovian controls for degenerate diffusions (2006)Existence of optimal markovian controls f…A stochastic maximum principle for optimal control of diffusions (1986)A stochastic maximum principl…On the Hamilton-Jacobi-Bellman equations (1983)On the Hamilton-Jacobi-Bellma…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesThéorie probabiliste du contrôle des diffusions (1976)Théorie probabiliste du contr…Existence results for optimal stochastic controls (1975)Existence results for optimal…On the Existence of Optimal Policies in Stochastic Control (1973)On the Existence of Optimal P…Existence of Optimal Stochastic Control Laws (1971)Existence of Optimal Stochast…Existence of optimal controls for systems driven by FBSDEs (2011)Existence of optimal controls…Approximation and optimality necessary conditions in relaxed stochastic control problems (2006)Approximation and optimality …A topology for Markov controls (1989)A topology for Markov controlsStochastic Differential Equations and Diffusion Processes (1983)Adapted solution of a backward stochastic differential equation (1990)An introduction to stochastic partial differential equations (2006)Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls (2013)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach (1999)Stochastic Optimal Control and Linear Programming Approach (2010)Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)On Square Integrable Martingales (1967)On the Solutions of a Stochastic Control System (1971)Ergodic Control of Multidimensional Diffusions I: The Existence Results (1988)Stochastic Differential Equations (1972)Calcul Stochastique et Problèmes de Martingales (1979)On the pricing of American options (1988)Variational inequalities and the pricing of American options (1990)Backward stochastic differential equations with reflection and Dynkin games (1996)Multiple Wiener Integral (1951)Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)The Optimal Control of a Stochastic System (1977)Optimal Play in a Stochastic Differential Game (1981)Martingale methods in stochastic control (2005)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)A risk-sensitive maximum principle (1990)The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)A maximum principle for optimal control of stochastic systems with delay, with applications to finance (2000)Sur un problème de dynkin (1977)Representation theorems for backward stochastic differential equations (2002)Well-posedness and regularity of backward stochastic Volterra integral equations (2007)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,311 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1971Existence of Optimal Stochastic Control Laws246 cited
  • 1976Théorie probabiliste du contrôle des diffusions138 cited
  • 1986A stochastic maximum principle for optimal control of diffusions130 cited
  • 1973On the Existence of Optimal Policies in Stochastic Control69 cited
  • 1983On the Hamilton-Jacobi-Bellman equations66 cited
  • 1975Existence results for optimal stochastic controls59 cited

Cited by

  • 2006Approximation and optimality necessary conditions in relaxed stochastic control problems40 cited
  • 1989A topology for Markov controls36 cited
  • 2011Existence of optimal controls for systems driven by FBSDEs30 cited

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