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Connections between stochastic control and dynamic games
1 references·8 citing·36 second hop
Connections between stochastic control and dynamic games (1996)Connections between stochastic control an…Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control on an …Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (2021)Solving high-dimensional Hami…Approximate Markov-Nash Equilibria for Discrete-Time Risk-Sensitive Mean-Field Games (2020)Approximate Markov-Nash Equil…Robust Multiarmed Bandit Problems (2015)Robust Multiarmed Bandit Prob…Dynamic Programming Subject to Total Variation Distance Ambiguity (2015)Dynamic Programming Subject t…Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions (2014)Applications of the Cross-Ent…On the optimality of threshold control in queues with model uncertainty (2010)On the optimality of threshol…Robust Multi-Product Pricing (2008)Robust Multi-Product PricingRisk sensitive portfolio optimization (1999)Risk sensitive portfolio opti…On the optimal control of stochastic systems with an exponential-of-integral performance index (1981)A risk-sensitive maximum principle (1990)Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions (1996)Finite-time Analysis of the Multiarmed Bandit Problem (2002)The Price of Robustness (2004)Prediction, Learning, and Games (2006)Reinforcement Learning for Non-Stationary Markov Decision Processes: The Blessing of (More) Optimism (2020)Spoiled for Choice? Personalized Recommendation for Healthcare Decisions: A Multiarmed Bandit Approach (2023)Stochastic Differential Equations: An Introduction with Applications. (1987)Controlled Markov Processes and Viscosity Solutions (2005)Optimal stopping and free-boundary problems (2006)Predictability of Stock Returns: Robustness and Economic Significance (1995)Risk-Sensitive Dynamic Asset Management (1999)Brownian Motion and Stochastic Calculus (2007)Controlled Diffusion Processes (1980)Brownian Motion and Stochastic Calculus (1988)Stochastic Analysis, Control, Optimization and Applications (1999)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Linear Quadratic Risk-Sensitive and Robust Mean Field Games (2016)Stochastic Games (1953)Calcul Stochastique et Problèmes de Martingales (1979)Point Processes and Queues (1981)A dynamic inventory rationing problem with uncertain demand and production rates (2014)Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees (2019)Maxmin expected utility with non-unique prior (1989)Robust Convex Optimization (1998)Dynamic Pricing to Minimize Maximum Regret (2016)Robust Dynamic Pricing with Two Substitutable Products (2017)Joint pricing and inventory management under minimax regret (2023)Introduction to Stochastic Control Theory (1970)Numerical solution of stochastic differential equations (2016)Numerical methods for backward stochastic differential equations: A survey (2023)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Mean field games (2007)Q-Learning in Regularized Mean-field Games (2022)
this work references cited by second hop

References

  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 cited

Cited by

  • 2021Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space72 cited
  • 2014Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions55 cited
  • 2015Robust Multiarmed Bandit Problems46 cited
  • 1999Risk sensitive portfolio optimization41 cited
  • 2020Approximate Markov-Nash Equilibria for Discrete-Time Risk-Sensitive Mean-Field Games33 cited
  • 2010On the optimality of threshold control in queues with model uncertainty28 cited
  • 2008Robust Multi-Product Pricing25 cited
  • 2015Dynamic Programming Subject to Total Variation Distance Ambiguity25 cited

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