Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost (Q4630680): Difference between revisions

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scientific article; zbMATH DE number 7046549

Language	Label	Description	Also known as
English	Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost	scientific article; zbMATH DE number 7046549

Statements

instance of

scholarly article

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title

Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost (English)

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author

Yuri F. Saporito

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published in

SIAM Journal on Control and Optimization

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publication date

23 April 2019

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full work available at URL

https://arxiv.org/abs/1611.00589

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zbMATH Keywords

functional Itô calculus

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path-dependence

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stochastic control

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stochastic games

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delay

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MaRDI profile type

MaRDI publication profile

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cites work

Mean Field Stackelberg Games: Aggregation of Delayed Instructions

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Q2807034

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Systemic risk and stochastic games with delay

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Change of variable formulas for non-anticipative functionals on path space

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On viscosity solutions of path dependent PDEs

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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Q3375703

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Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing

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Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

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Forward-backward linear quadratic stochastic optimal control problem with delay

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Functional Itô calculus, path-dependence and the computation of Greeks

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Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems

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The functional Itō formula under the family of continuous semimartingale measures

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Continuous-time stochastic control and optimization with financial applications

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Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation

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Dynamic programming for stochastic target problems and geometric flows

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Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations

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Identifiers

zbMATH Open document ID

1415.93295

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DOI

10.1137/18M1186186

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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+Q3375703
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+Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
+Normal rank
@@ Property / cites work @@
+Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks
+Normal rank
@@ Property / cites work @@
+Forward-backward linear quadratic stochastic optimal control problem with delay
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@@ Property / cites work @@
+Functional Itô calculus, path-dependence and the computation of Greeks
+Normal rank
@@ Property / cites work @@
+Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems
+Normal rank
@@ Property / cites work @@
+The functional Itō formula under the family of continuous semimartingale measures
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
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@@ Property / cites work @@
+Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
+Normal rank
@@ Property / cites work @@
+Dynamic programming for stochastic target problems and geometric flows
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+Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations
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