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Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach
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Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach (1999)Invariant Sets for Controlled Degenerate …Stochastic differential equations and applications (2008)Stochastic differential equat…STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)STOCHASTIC DIFFERENTIAL EQUAT…Dynamic Economic Theory (1997)Dynamic Economic TheoryStochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Optimal control of diffustion…Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I (1983)Optimal control of diffusion …On the Hamilton-Jacobi-Bellman equations (1983)On the Hamilton-Jacobi-Bellma…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Stochastic Differential Equations and Applications (1975)Stochastic Differential Equat…The existence of value in differential games (1972)The existence of value in dif…A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)Importance Sampling, Large Deviations, and Differential Games (2004)A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications (2010)Theory of games and economic behavior (2019)Controlled Diffusion Processes (1980)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Existence of optimal markovian controls for degenerate diffusions (2006)Stochastic Optimal Control and Linear Programming Approach (2010)Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)Stochastic differential equations with reflecting boundary conditions (1984)On an Investment-Consumption Model with Transaction Costs (1996)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Weak Dynamic Programming Principle for Viscosity Solutions (2011)Point Processes and Queues (1981)New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients (2014)Introduction to Stochastic Integration (2006)A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES (2012)OPTIMAL STOPPING UNDER PROBABILITY DISTORTION (2016)Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (2020)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)An Optimal Investment/Consumption Model with Borrowing (1991)On ergodic stochastic control (1998)Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences (1999)Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty (2005)Developments in differential game theory and numerical methods: economic and management applications (2006)SATISFICING SOLUTIONS TO A MONETARY POLICY PROBLEM (2009)
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References

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  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1972The existence of value in differential games294 cited
  • 1975Stochastic Differential Equations and Applications284 cited
  • 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application218 cited
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  • 1997Dynamic Economic Theory126 cited
  • 1983On the Hamilton-Jacobi-Bellman equations66 cited
  • 2000STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS57 cited

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