SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Randomized and backward SDE representation for optimal control of non-Markovian SDEs
16 references·1 citing·34 second hop
Randomized and backward SDE representation for optimal control of non-Markovian SDEs (2015)Randomized and backward SDE representatio…Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…On viscosity solutions of path dependent PDEs (2014)On viscosity solutions of pat…Constructing sublinear expectations on path space (2013)Constructing sublinear expect…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …The viscosity solutions approach to stochastic control problems (2009)The viscosity solutions appro…Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…No Arbitrage and General Semimartingales (2008)No Arbitrage and General Semi…G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Second‐order backward stochas…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesBackward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach (2018)Backward SDEs for optimal con…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Backward Stochastic Differential Equations in Finance (1997)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Brownian Motion and Stochastic Calculus (1988)Adapted solution of a backward stochastic differential equation (1990)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)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)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward stochastic differential equations and integral-partial differential equations (1997)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Stochastic Differential Equations (2003)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)A General Formula for Valuing Defaultable Securities (2004)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 2019Semimartingale Theory and Stochastic Calculus488 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 2011Wellposedness of second order backward SDEs289 cited
  • 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
  • 2014On viscosity solutions of path dependent PDEs181 cited
  • 2013Constructing sublinear expectations on path space136 cited
  • 2009The viscosity solutions approach to stochastic control problems

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

97 cited
  • 2008No Arbitrage and General Semimartingales96 cited
  • Cited by

    • 2018Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach29 cited