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Compactification methods in the control of degenerate diffusions: existence of an optimal control
6 references·16 citing·35 second hop
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this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1971Existence of Optimal Stochastic Control Laws246 cited

Cited by

  • 2016Mean field games with common noise204 cited
  • 2011Ergodic Control of Diffusion Processes177 cited
  • 2015A general characterization of the mean field limit for stochastic differential games176 cited
  • 1998Existence of Markov Controls and Characterization of Optimal Markov Controls147 cited
  • 2017Limit Theory for Controlled McKean--Vlasov Dynamics139 cited
  • 1990On the Existence of Optimal Controls136 cited
  • 2017On the connection between symmetric $N$-player games and mean field games134 cited
  • 2015Mean field games via controlled martingale problems: Existence of Markovian equilibria128 cited
  • 2017Dynamic programming approach to principal–agent problems126 cited

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2013
Optimal transportation under controlled stochastic dynamics
117 cited
  • 2020On the convergence of closed-loop Nash equilibria to the mean field game limit106 cited
  • 1995Singular Optimal Stochastic Controls I: Existence97 cited
  • 1990Martingale measures and stochastic calculus94 cited
  • 1995Singular Optimal Stochastic Controls II: Dynamic programming78 cited
  • 2017Mean Field Games of Timing and Models for Bank Runs76 cited
  • 2010Stochastic Partial Differential Equations and Portfolio Choice75 cited