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Optimal Controls for Stochastic Partial Differential Equations
7 references·0 citing·19 second hop
Optimal Controls for Stochastic Partial Differential Equations (1990)Optimal Controls for Stochastic Partial D…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Existence of an Optimal Markovian Filter for the Control under Partial Observations (1988)Existence of an Optimal Marko…On stochastic relaxed control for partially observed diffusions (1984)On stochastic relaxed control…Foundations of Stochastic Differential Equations in Infinite Dimensional Spaces (1984)Foundations of Stochastic Dif…Optimal Control for Partially Observed Diffusions (1982)Optimal Control for Partially…Stochastic partial differential equations and filtering of diffusion processes (1980)Stochastic partial differenti…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Controlled Diffusion Processes (1980)Approximation and optimality necessary conditions in relaxed stochastic control problems (2006)Nonlinear Filtering for Jump Diffusion Observations (2012)Randomized and backward SDE representation for optimal control of non-Markovian SDEs (2015)Stochastic Differential Equations (1972)Stochastic Analysis, Control, Optimization and Applications (1999)Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation (1989)Learning Equilibrium Mean-Variance Strategy (2020)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Parabolic SPDEs driven by Poisson white noise (1998)Space-time continuous solutions to SPDE's driven by a homogeneous Wiener process (1999)Stochastic finite elements: Computational approaches to stochastic partial differential equations (2008)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
this work references cited by second hop

References

  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1980Stochastic partial differential equations and filtering of diffusion processes576 cited
  • 1984Foundations of Stochastic Differential Equations in Infinite Dimensional Spaces251 cited
  • 1982Optimal Control for Partially Observed Diffusions174 cited
  • 1984On stochastic relaxed control for partially observed diffusions73 cited
  • 1988Existence of an Optimal Markovian Filter for the Control under Partial Observations58 cited

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