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Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
5 references·16 citing·41 second hop
Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Optimal control of diffustion processes a…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesStochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equat…Weak Dynamic Programming Principle for Viscosity Solutions (2011)Weak Dynamic Programming Prin…Ergodic Control of Diffusion Processes (2011)Ergodic Control of Diffusion …Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random (2004)Bounds and Asymptotic Approxi…ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS (2003)ON THE RATE OF CONVERGENCE OF…Worst case model risk management (2002)Worst case model risk managem…Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002)Pricing Dynamic Insurance Ris…Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach (2001)Optimal portfolio selection w…Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001)Dynamic Optimization of Long‐…Super-replication in stochastic volatility models under portfolio constraints (1999)Super-replication in stochast…On ergodic stochastic control (1998)On ergodic stochastic controlOptimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Optimal Stopping, Free Bounda…On an Investment-Consumption Model with Transaction Costs (1996)On an 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pricing (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Portfolio Selection with Transaction Costs (1990)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)An explicit formula for the Skorokhod map on [0,a (2012)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 1979Stochastic differential equations with reflecting boundary condition in convex regions415 cited

Cited by

  • 2011Weak Dynamic Programming Principle for Viscosity Solutions190 cited
  • 1997Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model189 cited
  • 1996On an Investment-Consumption Model with Transaction Costs180 cited
  • 2011Ergodic Control of Diffusion Processes177 cited
  • 1998On ergodic stochastic control153 cited
  • 1994Consumption-Investment Models with Constraints142 cited
  • 1995An approximation scheme for the optimal control of diffusion processes124 cited
  • 1992PDE solutions of stochastic differential utility123 cited
  • 2001Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach109 cited
  • 1999Super-replication in stochastic volatility models under portfolio constraints

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98 cited
  • 2002Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility93 cited
  • 2001Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility86 cited
  • 2004Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random85 cited
  • 2002Worst case model risk management82 cited
  • 1989Convex Duality Approach to the Optimal Control of Diffusions75 cited
  • 2003ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS73 cited