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On the Existence of Optimal Controls

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References

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2017Dynamic programming approach to principal–agent problems126 cited
2020On the convergence of closed-loop Nash equilibria to the mean field game limit106 cited
1995Singular Optimal Stochastic Controls I: Existence97 cited
1995Singular Optimal Stochastic Controls II: Dynamic programming78 cited
2008Martingale approach to stochastic differential games of control and stopping72 cited
2011Optimal arbitrage under model uncertainty55 cited
2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations46 cited
2004Singular Stochastic Control Problems43 cited
1997Optimization of Observations: a Stochastic Control Approach43 cited

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2006Approximation and optimality necessary conditions in relaxed stochastic control problems40 cited

2017Mean Field Games with Singular Controls39 cited

2006Maximum Principle for Singular Stochastic Control Problems38 cited

2010Existence of an optimal control for stochastic control systems with nonlinear cost functional30 cited

2023Closed-loop convergence for mean field games with common noise26 cited