Stochastic control with rough paths (Q2400494): Difference between revisions

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+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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+On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
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+Information Relaxations and Duality in Stochastic Dynamic Programs
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+A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
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+Good rough path sequences and applications to anticipating stochastic calculus
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+A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
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+Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited
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+Differential equations driven by rough signals
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+Linear-Quadratic Fractional Gaussian Control
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+A course on rough paths. With an introduction to regularity structures
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+Multidimensional Stochastic Processes as Rough Paths
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+Controlling rough paths
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+Pricing American Options: A Duality Approach
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+On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
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+Fully nonlinear stochastic pde with semilinear stochastic dependence
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+Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
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+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
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+System Control and Rough Paths
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+OPTIMAL CONTROL FOR ROUGH DIFFERENTIAL EQUATIONS
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+Stochastic calculus with anticipating integrands
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+A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
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+Pathwise stochastic integrals for model free finance
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+Monte Carlo valuation of American options
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