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Martingale problems for controlled processes
3 references·1 citing·10 second hop
Martingale problems for controlled processes (2005)Martingale problems for controlled proces…Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I (1983)Optimal control of diffusion …Lectures on stochastic control theory (1981)Lectures on stochastic contro…On a Non-Linear Semi-Group Attached to Stochastic Optimal Control (1976)On a Non-Linear Semi-Group At…Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance (2009)Investment Performance Measur…Control of a Solution of a Stochastic Integral Equation (1972)On the Hamilton-Jacobi-Bellman equations (1983)Martingale methods in stochastic control (2005)A dual characterization of self-generation and exponential forward performances (2009)Horizon-unbiased utility functions (2007)Minimal Hellinger martingale measures of order q (2007)Valuing the option to invest in an incomplete market (2007)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)
this work references cited by second hop

References

  • 1983Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I161 cited
  • 1976On a Non-Linear Semi-Group Attached to Stochastic Optimal Control67 cited
  • 1981Lectures on stochastic control theory16 cited

Cited by

  • 2009Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance18 cited

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