SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
11 references·0 citing·48 second hopsampled
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost (2019)Stochastic Control and Differential Games…Systemic Risk and Stochastic Games with Delay (2018)Systemic Risk and Stochastic …Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks (2017)Stochastic Optimal Control wi…Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing (2017)Stochastic Optimal Control wi…Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2016)Viscosity solutions of fully …Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I (2016)Viscosity solutions of fully …Mean Field Stackelberg Games: Aggregation of Delayed Instructions (2015)Mean Field Stackelberg Games:…Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation (2014)Two Person Zero-Sum Game in W…On viscosity solutions of path dependent PDEs (2014)On viscosity solutions of pat…Forward–backward linear quadratic stochastic optimal control problem with delay (2012)Forward–backward linear quadr…Change of variable formulas for non-anticipative functionals on path space (2010)Change of variable formulas f…Dynamic programming for stochastic target problems and geometric flows (2002)Dynamic programming for stoch…Jeux à champ moyen. I – Le cas stationnaire (2006)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean field games (2007)Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays (2017)Linear quadratic mean field games with a major player: The multi-scale approach (2019)Risk-adjusted Bowley reinsurance under distorted probabilities (2019)Wellposedness of second order backward SDEs (2011)Functional Itô calculus and stochastic integral representation of martingales (2013)Measurability of semimartingale characteristics with respect to the probability law (2014)A Survey on the Combined Use of Optimization Methods and Game Theory (2018)Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (2018)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Adapted solution of a backward stochastic differential equation (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Stochastic controls : Hamiltonian systems and HJB equations (1999)General linear forward and backward Stochastic difference equations with applications (2018)Linear–quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information (2020)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Backward stochastic differential equations driven by G -Brownian motion (2013)Dynamic programming approach to principal–agent problems (2017)Methods of Mathematical Finance (1998)Continuous Martingales and Brownian Motion (1999)Stochastic target problems, dynamic programming, and viscosity solutions (2002)Option hedging for small investors under liquidity costs (2009)Superreplication under volatility uncertainty for measurable claims (2013)Stochastic Analysis (1997)Limit Theorems for Stochastic Processes (2003)Stochastic Integration and Differential Equations (2005)BSDE, path-dependent PDE and nonlinear Feynman-Kac formula (2015)Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (2015)A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion (2013)Functional Itô calculus (2019)Handbook on Systemic Risk (2013)Mean Field Games and systemic risk (2015)Strong solutions of mean-field stochastic differential equations with irregular drift (2018)Applications of Mean Field Games in financial engineering and economic theory (2021)A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets (2022)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects (2009)A stochastic control problem with delay arising in a pension fund model (2010)Recurrent neural networks for stochastic control problems with delay (2021)Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension (2023)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE (2015)Stochastic control for a class of nonlinear kernels and applications (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2014On viscosity solutions of path dependent PDEs181 cited
  • 2010Change of variable formulas for non-anticipative functionals on path space172 cited
  • 2002Dynamic programming for stochastic target problems and geometric flows160 cited
  • 2016Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II156 cited
  • 2016Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I119 cited
  • 2014Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation107 cited
  • 2015Mean Field Stackelberg Games: Aggregation of Delayed Instructions59 cited
  • 2012Forward–backward linear quadratic stochastic optimal control problem with delay59 cited
  • 2018Systemic Risk and Stochastic Games with Delay52 cited
  • 2017Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing41 cited
  • 2017Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks28 cited

Cited by

No citing works inside the corpus for this window.

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