SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
16 references·0 citing·34 second hop
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection (2013)Singular Control and Optimal Stopping of …Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps (2014)Reflected BSDEs and robust op…On non-Markovian forward–backward SDEs and backward stochastic PDEs (2012)On non-Markovian forward–back…The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions (2007)The Relaxed Stochastic Maximu…A Concise Course on Stochastic Partial Differential Equations (2007)A Concise Course on Stochasti…Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields (2005)Backward stochastic partial d…A General Stochastic Maximum Principle for Singular Control Problems (2005)A General Stochastic Maximum …On semi-linear degenerate backward stochastic partial differential equations (2002)On semi-linear degenerate bac…On linear, degenerate backward stochastic partial differential equations (1999)On linear, degenerate backwar…Equations différentielles stochastiques rétrogrades réfléchies dans un convexe (1996)Equations différentielles sto…Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Backward doubly stochastic di…White noise driven SPDEs with reflection (1993)White noise driven SPDEs with…White noise driven quasilinear SPDEs with reflection (1992)White noise driven quasilinea…Adapted solution of a backward semilinear stochastic evolution equation (1991)Adapted solution of a backwar…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic variational inequalities of parabolic type (1989)Stochastic variational inequa…Stochastic partial differential equations and filtering of diffusion processes (1980)Stochastic partial differenti…Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)On quasi-linear stochastic partial differential equations (1993)Malliavin Calculus for White Noise Driven Parabolic SPDEs (1998)Space-time continuous solutions to SPDE's driven by a homogeneous Wiener process (1999)An introduction to stochastic partial differential equations (2006)Stochastic Hamilton–Jacobi–Bellman Equations (1992)Backward-Forward Stochastic Differential Equations (1993)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Utility (1992)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations with subdifferential operator and related variational inequalities (1998)Backward Stochastic Differential Equations (2014)Stochastic Differential Equations (2014)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Diffusion processes with continuous coefficients, I (1969)Optimal Control for Partially Observed Diffusions (1982)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)Brownian Motion and Stochastic Calculus. (1989)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Stochastic Integration and Differential Equations : A New Approach (2014)Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection (2002)White noise driven SPDEs with reflection: Existence, uniqueness and large deviation principles (2009)Backward stochastic variational inequalities (1999)Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs (2009)On backward stochastic evolution equations in Hilbert spaces and optimal control (2006)Strong solution of backward stochastic partial differential equations in C 2 domains (2011)Stochastic integrals for spde’s: A comparison (2010)Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs (2011)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2007A Concise Course on Stochastic Partial Differential Equations826 cited
  • 1980Stochastic partial differential equations and filtering of diffusion processes576 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs341 cited
  • 1991Adapted solution of a backward semilinear stochastic evolution equation172 cited
  • 1992White noise driven quasilinear SPDEs with reflection150 cited
  • 1993White noise driven SPDEs with reflection144 cited
  • 1999On linear, degenerate backward stochastic partial differential equations107 cited
  • 1996Equations différentielles stochastiques rétrogrades réfléchies dans un convexe91 cited
  • 2002On semi-linear degenerate backward stochastic partial differential equations71 cited
  • 2014Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps61 cited
  • 2012On non-Markovian forward–backward SDEs and backward stochastic PDEs60 cited
  • 1989Stochastic variational inequalities of parabolic type46 cited
  • 2005Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields44 cited
  • 2005

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

A General Stochastic Maximum Principle for Singular Control Problems
42 cited
  • 2007The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions41 cited
  • Cited by

    No citing works inside the corpus for this window.