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Cited by

• 2011Ergodic Control of Diffusion Processes177 cited
• 2003General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations172 cited
• 1983Lectures in stochastic control172 cited
• 2005NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS159 cited
• 1990Optimal portfolio for a small investor in a market model with discontinuous prices140 cited
• 2004Dynamic Scheduling of a Multiclass Queue in the Halfin-Whitt Heavy Traffic Regime125 cited
• 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications121 cited
• 1993Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach117 cited
• 1986A Solvable One-Dimensional Model of a Diffusion Inventory System96 cited
• 2000Risk sensitive asset management with transaction costs93 cited
• 2015A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information92 cited
• 1983Long-term average cost control problems for continuous time Markov processes: A survey73 cited
• 1989Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation