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On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
5 references·0 citing·22 second hop
On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time (2011)On the existence of strict optimal contro…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Linear Programming Formulation for Optimal Stopping Problems (2002)Linear Programming Formulatio…Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems (2001)Stationary Solutions and Forw…Existence of Markov Controls and Characterization of Optimal Markov Controls (1998)Existence of Markov Controls …On the Existence of Optimal Controls (1990)On the Existence of Optimal C…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)On the solution of general impulse control problems using superharmonic functions (2013)Controlled Diffusion Processes (1980)Les Aspects Probabilistes Du Controle Stochastique (1981)Semimartingales (1982)Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)Dynamic programming approach to principal–agent problems (2017)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Pathwise Stochastic Optimal Control (2007)Limit Theory for Controlled McKean--Vlasov Dynamics (2017)Portfolio Selection with Transaction Costs (1990)Optimal Investment and Consumption with Transaction Costs (1994)Asymptotic lower bounds for optimal tracking: A linear programming approach (2017)Multiple collisions in systems of competing Brownian particles (2017)On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries (2017)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)
this work references cited by second hop

References

  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1998Existence of Markov Controls and Characterization of Optimal Markov Controls147 cited
  • 1990On the Existence of Optimal Controls136 cited
  • 2001Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems62 cited
  • 2002Linear Programming Formulation for Optimal Stopping Problems53 cited

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