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The viscosity solutions approach to stochastic control problems · Study

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ChapterThe viscosity solutions approach to stochastic control problems

Huyên Pham2009

Chapter2009

The viscosity solutions approach to stochastic control problems

97 citations·0/0 files stored·Applications of mathematics

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Optimization and Variational Analysis

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2021Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space 2015Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE 2014Backward Stochastic Differential Equations 2015Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps 2018Trading algorithms with learning in latent alpha models 2018Nash equilibria of threshold type for two-player nonzero-sum games of stopping 2013Singular forward–backward stochastic differential equations and emissions derivatives 2015Randomized and backward SDE representation for optimal control of non-Markovian SDEs

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Year2009

Typechapter

Published2009-01-01

VenueApplications of mathematics

ISSN-L0172-4568

Languageen

Citations97

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-89500-8_4

openalex_workW204256407

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