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ArticleStochastic control with rough paths

Joscha Diehl2016

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Articlegreen2016

Stochastic control with rough paths

Joscha Diehl · Peter K. Friz · Paul Gassiat

21 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2005Controlled Markov Processes and Viscosity Solutions 1999Stochastic controls : Hamiltonian systems and HJB equations 1980Controlled Diffusion Processes 1999Stochastic Controls 1998Differential equations driven by rough signals 1994Controlled markov processes and viscosity solutions 2010Multidimensional Stochastic Processes as Rough Paths 2004Controlling rough paths

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Year2016

Typearticle

Published2016-02-11

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-016-9333-9

openalex_workW2169865615

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