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Stochastic Optimal Control and Linear Programming Approach
7 references·0 citing·27 second hop
Stochastic Optimal Control and Linear Programming Approach (2010)Stochastic Optimal Control and Linear Pro…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Existence of stochastic control under state constraints (1998)Existence of stochastic contr…Existence of Markov Controls and Characterization of Optimal Markov Controls (1998)Existence of Markov Controls …Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Time-Average Control of Martingale Problems: Existence of a Stationary Solution (1990)Time-Average Control of Marti…On the Hamilton-Jacobi-Bellman equations (1983)On the Hamilton-Jacobi-Bellma…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Controlled Diffusion Processes (1980)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach (1999)Existence of optimal markovian controls for degenerate diffusions (2006)Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty (2005)Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Pathwise Stochastic Optimal Control (2007)Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)Limit Theory for Controlled McKean--Vlasov Dynamics (2017)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Time-Average Control of Martingale Problems: A Linear Programming Formulation (1990)Ergodic control of degenerate diffusions (1997)Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems (2013)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1998Existence of Markov Controls and Characterization of Optimal Markov Controls147 cited
  • 1983On the Hamilton-Jacobi-Bellman equations66 cited
  • 1990Time-Average Control of Martingale Problems: Existence of a Stationary Solution58 cited
  • 1998Existence of stochastic control under state constraints54 cited

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