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Martingale approach to stochastic differential games of control and stopping
16 references·11 citing·29 second hop
Martingale approach to stochastic differential games of control and stopping (2008)Martingale approach to stochastic differe…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Utility Maximization with Discretionary Stopping (2000)Utility Maximization with Dis…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…Backward equations, stochastic control and zero-sum stochastic differential games (1995)Backward equations, stochasti…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Compactification methods in t…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesAn Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Dynamic Programming Condition…Existence of Optimal Stochastic Control Laws (1971)Existence of Optimal Stochast…Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems (1970)Existence of Optimal Strategi…Robust retirement and life insurance with inflation risk and model ambiguity (2023)Robust retirement and life in…On the Robust Optimal Stopping Problem ∗† (2016)On the Robust Optimal Stoppin…Minimizing the probability of lifetime drawdown under constant consumption (2016)Minimizing the probability of…Game of Singular Stochastic Control and Strategic Exit (2015)Game of Singular Stochastic C…A zero-sum game between a singular stochastic controller and a discretionary stopper (2014)A zero-sum game between a sin…Second order reflected backward stochastic differential equations (2013)Second order reflected backwa…On the Multidimensional Controller-and-Stopper Games (2013)On the Multidimensional Contr…Proving regularity of the minimal probability of ruin via a game of stopping and control (2011)Proving regularity of the min…Optimal stopping for non-linear expectations—Part I (2010)Optimal stopping for non-line…Optimal stopping for dynamic convex risk measures (2010)Optimal stopping for dynamic …Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach (2010)Optimal Investment for Worst-…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Mean field games (2007)Adapted solution of a backward stochastic differential equation (1990)Backward-Forward Stochastic Differential Equations (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Stochastic Differential Utility (1992)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Stochastic Differential Equations (1972)Calcul Stochastique et Problèmes de Martingales (1979)On the pricing of American options (1988)Variational inequalities and the pricing of American options (1990)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
  • 1971Existence of Optimal Stochastic Control Laws246 cited
  • 2000Utility Maximization with Discretionary Stopping235 cited
  • 1987Compactification methods in the control of degenerate diffusions: existence of an optimal control231 cited
  • 1973Dynamic Programming Conditions for Partially Observable Stochastic Systems225 cited
  • 1970Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems164 cited

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  • 1995Backward equations, stochastic control and zero-sum stochastic differential games147 cited
  • Cited by

    • 2010Optimal stopping for dynamic convex risk measures64 cited
    • 2013On the Multidimensional Controller-and-Stopper Games62 cited
    • 2010Optimal stopping for non-linear expectations—Part I62 cited
    • 2013Second order reflected backward stochastic differential equations39 cited
    • 2011Proving regularity of the minimal probability of ruin via a game of stopping and control38 cited
    • 2016On the Robust Optimal Stopping Problem ∗†35 cited
    • 2010Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach34 cited
    • 2014A zero-sum game between a singular stochastic controller and a discretionary stopper29 cited
    • 2016Minimizing the probability of lifetime drawdown under constant consumption28 cited
    • 2015Game of Singular Stochastic Control and Strategic Exit27 cited
    • 2023Robust retirement and life insurance with inflation risk and model ambiguity26 cited