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Max-Plus Stochastic Control and Risk-Sensitivity
5 references·1 citing·20 second hop
Max-Plus Stochastic Control and Risk-Sensitivity (2010)Max-Plus Stochastic Control and Risk-Sens…Stochastic calculus for symmetric Markov processes (2007)Stochastic calculus for symme…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Max-Plus Stochastic Processes (2004)Max-Plus Stochastic ProcessesDiscontinuous solutions of deterministic optimal stopping time problems (1987)Discontinuous solutions of de…The existence of value in differential games (1972)The existence of value in dif…Stochastic Differential Equations (2014)Stochastic Differential Equat…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)Theory of Rational Option Pricing (1973)Optimal Control with State-Space Constraint. II (1986)Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation (2004)Homogenization and Asymptotics for Small Transaction Costs (2013)Loss of regularity for Kolmogorov equations (2015)A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)Importance Sampling, Large Deviations, and Differential Games (2004)A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications (2010)Theory of games and economic behavior (2019)Risk-Sensitive Control on an Infinite Time Horizon (1995)Large deviations of semimartingales: A maxingale problem approach i. limits as solutions to a maxingale problem (1997)Some Classes of Imperfect Information Finite State-Space Stochastic Games with Finite-Dimensional Solutions (2004)Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (2008)Semimartingale Theory and Stochastic Calculus (2019)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1972The existence of value in differential games294 cited
  • 1987Discontinuous solutions of deterministic optimal stopping time problems234 cited
  • 2007Stochastic calculus for symmetric Markov processes40 cited
  • 2004Max-Plus Stochastic Processes31 cited

Cited by

  • 2014Stochastic Differential Equations19 cited

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