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Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces
4 references·4 citing·27 second hop
Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces (2008)Stochastic Optimal Control Problems and P…Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Nonlinear Kolmogorov equation…On quasi-linear stochastic partial differential equations (1993)On quasi-linear stochastic pa…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Martingales, the Malliavin ca…Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models (2024)Optimal Control of Stochastic…Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks (2017)Stochastic Optimal Control wi…Optimal control problem for stochastic evolution equations in Hilbert spaces (2010)Optimal control problem for s…Regularizing Properties for Transition Semigroups and Semilinear Parabolic Equations in Banach Spaces (2007)Regularizing Properties for T…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Stochastic Differential Equations and Diffusion Processes (1983)Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise (1995)Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise (1997)Stochastic evolution equations in (1999)An introduction to stochastic partial differential equations (2006)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Second Order PDE’s in Finite and Infinite Dimension (2001)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Stochastic calculus of variations and hypoelliptic operators (1978)Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Generalized stochastic integrals and the malliavin calculus (1986)Simplified malliavin calculus (1986)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Brownian Motion and Stochastic Calculus (2007)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)When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional? (2003)On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects (2009)Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost (2019)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Continuous Martingales and Brownian Motion (1999)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions270 cited
  • 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control167 cited
  • 1993On quasi-linear stochastic partial differential equations75 cited

Cited by

  • 2017Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks28 cited
  • 2010Optimal control problem for stochastic evolution equations in Hilbert spaces24 cited
  • 2024Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models21 cited
  • 2007Regularizing Properties for Transition Semigroups and Semilinear Parabolic Equations in Banach Spaces21 cited

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