Optimal control versus stochastic target problems: an equivalence result (Q414574): Difference between revisions

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+Q4368791
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+Superreplication Under Gamma Constraints
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+Explicit solution to the multivariate super-replication problem under transaction costs.
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+Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
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+Dynamic programming for stochastic target problems and geometric flows
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+Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
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+Stochastic targets with mixed diffusion processes and viscosity solutions.
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+The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
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+Stochastic Target Problems with Controlled Loss
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+Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
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+A stochastic target formulation for optimal switching problems in finite horizon
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+Q3925594
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+Point processes and queues. Martingale dynamics
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+Weak Dynamic Programming Principle for Viscosity Solutions
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+Controlled Markov processes and viscosity solutions
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+Q4255599
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+Optimal Control under Stochastic Target Constraints
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