SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation
7 references·7 citing·33 second hop
Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation (1989)Viscosity solutions of fully nonlinear se…Stochastic Differential Systems, Stochastic Control Theory and Applications (1988)Stochastic Differential Syste…On stochastic relaxed control for partially observed diffusions (1984)On stochastic relaxed control…Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)Maximum principle and dynamic…Stochastic Control by Functional Analysis Methods (1982)Stochastic Control by Functio…Optimal Control for Partially Observed Diffusions (1982)Optimal Control for Partially…Stochastic partial differential equations and filtering of diffusion processes (1980)Stochastic partial differenti…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesViscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls (2020)Viscosity solutions to parabo…Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem (2018)Randomized filtering and Bell…Path-dependent equations and viscosity solutions in infinite dimension (2018)Path-dependent equations and …Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach (2018)Backward SDEs for optimal con…Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (2015)Path-dependent optimal stocha…Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control (2004)Semilinear Kolmogorov Equatio…Second-Order Hamilton–Jacobi Equations in Infinite Dimensions (1991)Second-Order Hamilton–Jacobi …Stochastic Differential Equations (1972)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Analysis, Control, Optimization and Applications (1999)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (2018)Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation (2020)Continuous Martingales and Brownian Motion (1991)Mean field games (2007)Mean Field Games and Mean Field Type Control Theory (2013)Forward and backward stochastic differential equations with normal constraints in law (2020)Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions (2020)Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension (2023)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Existence of an Optimal Markovian Filter for the Control under Partial Observations (1988)Learning Equilibrium Mean-Variance Strategy (2020)Extended mean field control problem: a propagation of chaos result (2022)Lectures in stochastic control (1983)General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations (2003)Ergodic Control of Diffusion Processes (2011)The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations (1998)Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance (2004)The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information (2009)Strong feller property for stochastic semilinear equations (1995)Hamilton–Jacobi–Bellman Equations for the Optimal Control of the Duncan–Mortensen–Zakai Equation (2000)Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing (2017)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Connections between optimal stopping and singular stochastic control (1998)Large systems of diffusions interacting through their ranks (2012)A Linear Response Bandit Problem (2013)
this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,311 cited
  • 1980Stochastic partial differential equations and filtering of diffusion processes576 cited
  • 1982Stochastic Control by Functional Analysis Methods204 cited
  • 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions177 cited
  • 1982Optimal Control for Partially Observed Diffusions174 cited
  • 1988Stochastic Differential Systems, Stochastic Control Theory and Applications100 cited
  • 1984On stochastic relaxed control for partially observed diffusions73 cited

Cited by

  • 1991Second-Order Hamilton–Jacobi Equations in Infinite Dimensions55 cited
  • 2020Viscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls49 cited
  • 2015Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations44 cited
  • 2018Path-dependent equations and viscosity solutions in infinite dimension37 cited
  • 2018Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem36 cited
  • 2004Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control36 cited
  • 2018Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

29 cited