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Risk sensitive stochastic control and differential games
7 references·2 citing·30 second hop
Risk sensitive stochastic control and differential games (2006)Risk sensitive stochastic control and dif…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic Differential Equations (2007)Stochastic Differential Equat…Risk sensitive optimal control and differential games (2007)Risk sensitive optimal contro…Stochastic Differential Equations (2006)Stochastic Differential Equat…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Importance Sampling, Large Deviations, and Differential Games (2004)Importance Sampling, Large De…Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control on an …Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Infinite horizon risk-sensiti…Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (2012)Maximum Principle for Risk-Se…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)The existence of value in differential games (1972)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Fast simulation of rare events in queueing and reliability models (1995)Dynamic Importance Sampling for Queueing Networks (2005)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Asymptotic robustness of estimators in rare-event simulation (2010)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Adapted solution of a backward stochastic differential equation (1990)Stochastic Controls (1999)Controlled Diffusion Processes (1980)Brownian Motion and Stochastic Calculus (1988)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)Statistics of Random Processes (2001)Strong solutions of stochastic equations with singular time dependent drift (2004)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)A Finite-Dimensional Risk-Sensitive Control Problem (1995)Optimal Investment Models and Risk Sensitive Stochastic Control (1995)Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games (1999)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 cited
  • 2004Importance Sampling, Large Deviations, and Differential Games147 cited
  • 2007Risk sensitive optimal control and differential games115 cited
  • 2007Stochastic Differential Equations70 cited

Cited by

  • 2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions28 cited
  • 2012Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance25 cited

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