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Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost
4 references·1 citing·18 second hop
Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost (2013)Risk-Sensitive Control of Pure Jump Proce…Ergodic Control of Diffusion Processes (2011)Ergodic Control of Diffusion …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Remarks on Risk-Sensitive Control Problems (2005)Remarks on Risk-Sensitive Con…Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control (1970)Necessary and Sufficient Dyna…Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space (2015)Risk-Sensitive Ergodic Contro…Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems (1970)Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Stochastic Differential Equations and Diffusion Processes (1983)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Brownian Motion and Stochastic Calculus (2007)Characterizations of Overtaking Optimality for Controlled Diffusion Processes (2007)Homogenization and Asymptotics for Small Transaction Costs (2013)Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (2015)Optimal Control of Partially Observable Diffusions (1968)Optimal Continuous-Parameter Stochastic Control (1969)On the Existence of Optimal Policies in Stochastic Control (1973)On the optimal control of stochastic systems with an exponential-of-integral performance index (1981)Martingale approach to stochastic differential games of control and stopping (2008)Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control with Near Monotone Cost (2009)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2011Ergodic Control of Diffusion Processes177 cited
  • 1970Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control83 cited
  • 2005Remarks on Risk-Sensitive Control Problems36 cited

Cited by

  • 2015Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space31 cited

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