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Existence of stochastic control under state constraints · Study

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ArticleExistence of stochastic control under state constraints

Rainer Buckdahn1998

Article1998

Existence of stochastic control under state constraints

Rainer Buckdahn · Shige Peng A · Marc Quincampoix · Catherine Rainer

54 citations·0/0 files stored·Comptes Rendus de l Académie des Sciences - Series I - Mathematics

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Stochastic processes and financial applications Optimization and Variational Analysis Stability and Controllability of Differential Equations

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 54 citations exist upstream.

References

1987Compactification methods in the control of degenerate diffusions: existence of an optimal control

Cited by

2005Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty 2010Stochastic Optimal Control and Linear Programming Approach

Details

Year1998

Typearticle

Published1998-07-01

VenueComptes Rendus de l Académie des Sciences - Series I - Mathematics

ISSN-L0764-4442

Languagefr

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/s0764-4442(98)80096-7

openalex_workW1995606924

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