Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time (Q2441319): Difference between revisions

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scientific article

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English	Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time	scientific article

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instance of

scholarly article

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title

Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time (English)

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author

Richard H. Stockbridge

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published in

Metrika

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publication date

24 March 2014

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zbMATH Keywords

stochastic control

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optimal stopping

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dynamic programming

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linear programming

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HJB equation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00184-013-0476-2

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cites work

Some remarks on first passage of Lévy processes, the American put and pasting principles

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Reward functionals, salvage values, and optimal stopping

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Q3150773

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Linear Programming Formulation for Optimal Stopping Problems

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Viscosity Solutions of Hamilton-Jacobi Equations

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User’s guide to viscosity solutions of second order partial differential equations

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On the optimal stopping problem for one-dimensional diffusions.

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On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time

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Q5342182

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On the Existence of Optimal Controls

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Q4086303

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Controlled Markov processes and viscosity solutions

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Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions

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Numerical solution of a long-term average control problem for singular stochastic processes

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Existence of Markov Controls and Characterization of Optimal Markov Controls

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Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

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Stochastic differential equations. An introduction with applications.

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Q3378055

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Continuous-time stochastic control and optimization with financial applications

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Optimal Stopping of One-Dimensional Diffusions

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Q4265503

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Q4172681

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Stochastic calculus for finance. II: Continuous-time models.

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Q3864388

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Identifiers

zbMATH Open document ID

1455.49015

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DOI

10.1007/s00184-013-0476-2

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2441319

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@@ Property / OpenAlex ID: W2063992072 / rank @@
+Normal rank
@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
+Normal rank
@@ Property / cites work @@
+Reward functionals, salvage values, and optimal stopping
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+Linear Programming Formulation for Optimal Stopping Problems
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Hamilton-Jacobi Equations
@@ Property / cites work: Viscosity Solutions of Hamilton-Jacobi Equations / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+On the optimal stopping problem for one-dimensional diffusions.
+Normal rank
@@ Property / cites work @@
+On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
+Normal rank
@@ Property / cites work @@
+Q5342182
@@ Property / cites work: Q5342182 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Existence of Optimal Controls
@@ Property / cites work: On the Existence of Optimal Controls / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
+Normal rank
@@ Property / cites work @@
+Numerical solution of a long-term average control problem for singular stochastic processes
+Normal rank
@@ Property / cites work @@
+Existence of Markov Controls and Characterization of Optimal Markov Controls
+Normal rank
@@ Property / cites work @@
+Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Optimal Stopping of One-Dimensional Diffusions
@@ Property / cites work: Optimal Stopping of One-Dimensional Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4265503
@@ Property / cites work: Q4265503 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4172681
@@ Property / cites work: Q4172681 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Q3864388
@@ Property / cites work: Q3864388 / rank @@
+Normal rank