SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Numerical Approximations for Stochastic Differential Games
14 references·6 citing·35 second hop
Numerical Approximations for Stochastic Differential Games (2002)Numerical Approximations for Stochastic D…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…Heavy Traffic Analysis of Controlled Queueing and Communication Networks (2001)Heavy Traffic Analysis of Con…Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control on an …On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)On lipschitz continuity of th…Algorithms for stochastic games ? A survey (1991)Algorithms for stochastic gam…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian models of open queue…Open Queueing Networks in Heavy Traffic (1984)Open Queueing Networks in Hea…Reflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …The existence of value in differential games (1972)The existence of value in dif…Existence of Optimal Stochastic Control Laws (1971)Existence of Optimal Stochast…The convergence problem for differential games (1961)The convergence problem for d…Risk-Sensitive Zero-Sum Differential Games (2018)Risk-Sensitive Zero-Sum Diffe…Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013)Optimal reinsurance strategie…Nonlinear Markov Games on a Finite State Space (Mean-field and Binary Interactions) (2012)Nonlinear Markov Games on a F…Numerical Solutions for Stochastic Differential Games With Regime Switching (2008)Numerical Solutions for Stoch…Convergence of Markov chain approximation on generalized HJB equation and its applications (2007)Convergence of Markov chain a…Nonzero-sum games for continuous-time Markov chains with unbounded discounted payoffs (2005)Nonzero-sum games for continu…Multiple channel queues in heavy traffic. I (1970)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)Importance Sampling, Large Deviations, and Differential Games (2004)A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications (2010)Theory of games and economic behavior (2019)Stochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equations with reflecting boundary conditions (1984)Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant (1993)Problàme de Skorohod multivoque (1998)State-dependent stochastic networks. Part I. Approximations and applications with continuous diffusion limits (1998)Networks of Waiting Lines (1957)Brownian Models of Queueing Networks with Heterogeneous Customer Populations (1988)Controlled Diffusion Processes (1980)Connections between stochastic control and dynamic games (1996)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)Open, Closed, and Mixed Networks of Queues with Different Classes of Customers (1975)Brownian Motion and Stochastic Flow Systems. (1987)Planning Queueing Simulations (1989)Discrete Flow Networks: Bottleneck Analysis and Fluid Approximations (1991)Fluctuations of Lévy Processes with Applications (2014)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Information Quality and Long‐Run Risk: Asset Pricing Implications (2010)Investment Shocks and Asset Prices (2011)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 2001Numerical Methods for Stochastic Control Problems in Continuous Time654 cited
  • 1984Open Queueing Networks in Heavy Traffic449 cited
  • 1981Reflected Brownian Motion on an Orthant390 cited
  • 1987Brownian models of open queueing networks with homogeneous customer populations ∗312 cited
  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 cited
  • 1972The existence of value in differential games294 cited
  • 1991On lipschitz continuity of the solution mapping to the skorokhod problem, with applications255 cited
  • 1971Existence of Optimal Stochastic Control Laws246 cited
  • 2001Heavy Traffic Analysis of Controlled Queueing and Communication Networks201 cited
  • 1961The convergence problem for differential games197 cited
  • 1991Algorithms for stochastic games ? A survey163 cited

Cited by

  • 2013Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods

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

48 cited
  • 2012Nonlinear Markov Games on a Finite State Space (Mean-field and Binary Interactions)47 cited
  • 2018Risk-Sensitive Zero-Sum Differential Games43 cited
  • 2005Nonzero-sum games for continuous-time Markov chains with unbounded discounted payoffs41 cited
  • 2007Convergence of Markov chain approximation on generalized HJB equation and its applications37 cited
  • 2008Numerical Solutions for Stochastic Differential Games With Regime Switching34 cited