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Stochastic control problems with delay
8 references·1 citing·31 second hop
Stochastic control problems with delay (2005)Stochastic control problems with delayControlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional? (2003)When Are HJB-Equations in Sto…Dynamic programming in stochastic control of systems with delay (2002)Dynamic programming in stocha…Some Solvable Stochastic Control Problems With Delay (2000)Some Solvable Stochastic Cont…A maximum principle for optimal control of stochastic systems with delay, with applications to finance (2000)A maximum principle for optim…Stochastic Controls (1999)Stochastic ControlsControlled markov processes and viscosity solutions (1994)Controlled markov processes a…Controlled Stochastic Processes (1979)Controlled Stochastic Process…Recurrent neural networks for stochastic control problems with delay (2021)Recurrent neural networks for…Optimum consumption and portfolio rules in a continuous-time model (1971)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)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)Stochastic Integration and Differential Equations (1990)Optimization of the flow of dividends (1995)Stochastic Integration and Differential Equations (2005)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Time to Build and Aggregate Fluctuations (1982)Maximum principle for the stochastic optimal control problem with delay and application (2010)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing (2017)Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks (2017)Systemic Risk and Stochastic Games with Delay (2018)Stochastic Optimal Control of Delay Equations Arising in Advertising Models (2005)A stochastic control problem with delay arising in a pension fund model (2010)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)Instantaneous Control of Brownian Motion (1983)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic Controls1,243 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1979Controlled Stochastic Processes351 cited
  • 2000Some Solvable Stochastic Control Problems With Delay149 cited
  • 2000A maximum principle for optimal control of stochastic systems with delay, with applications to finance117 cited
  • 2002Dynamic programming in stochastic control of systems with delay94 cited
  • 2003When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?60 cited

Cited by

  • 2021Recurrent neural networks for stochastic control problems with delay26 cited

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