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Optimal control problem for stochastic evolution equations in Hilbert spaces
16 references·0 citing·36 second hop
Optimal control problem for stochastic evolution equations in Hilbert spaces (2010)Optimal control problem for stochastic ev…Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations (2010)Stochastic Equations with Del…On backward stochastic evolution equations in Hilbert spaces and optimal control (2006)On backward stochastic evolut…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces (2004)Infinite horizon backward sto…BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)BSDEs and risk-sensitive cont…Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Nonlinear Kolmogorov equation…Some Solvable Stochastic Control Problems With Delay (2000)Some Solvable Stochastic Cont…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…A maximum principle for optimal control of stochastic systems with delay, with applications to finance (2000)A maximum principle for optim…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward equations, stochastic control and zero-sum stochastic differential games (1995)Backward equations, stochasti…A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)A Generalized dynamic program…Second-Order Hamilton–Jacobi Equations in Infinite Dimensions (1991)Second-Order Hamilton–Jacobi …Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation (1989)Viscosity solutions of fully …Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Stochastic Integration and Differential Equations (1990)Optimization of the flow of dividends (1995)Stochastic Integration and Differential Equations (2005)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Controlled Diffusion Processes (1980)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Filtration-consistent nonlinear expectations and related g-expectations (2002)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Brownian Motion and Stochastic Calculus (1988)Reflected BSDEs and mixed game problem (2000)Reflected BSDE's with discontinuous barrier and application (2002)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Utility maximization in incomplete markets (2005)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)On well-posedness of forward–backward SDEs—A unified approach (2015)Continuous Martingales and Brownian Motion (1999)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market (2020)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Partial Differential Equations (2010)The Malliavin Calculus and Related Topics (2006)BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces (2007)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation296 cited
  • 2003BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations186 cited
  • 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control167 cited
  • 2000Some Solvable Stochastic Control Problems With Delay149 cited
  • 1995Backward equations, stochastic control and zero-sum stochastic differential games147 cited
  • 2000A maximum principle for optimal control of stochastic systems with delay, with applications to finance117 cited
  • 2004Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces67 cited
  • 1989Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation67 cited

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2010
Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
55 cited
  • 1991Second-Order Hamilton–Jacobi Equations in Infinite Dimensions55 cited
  • 2006On backward stochastic evolution equations in Hilbert spaces and optimal control50 cited
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