SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
From MaRDI portal
Publication:3877536
DOI10.1070/SM1980V037N01ABEH001946zbMath0436.93055OpenAlexW2024554661MaRDI QIDQ3877536
Publication date: 1980
Published in: Mathematics of the USSR-Sbornik (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1070/sm1980v037n01abeh001946
Related Items (only showing first 100 items - show all)
On the Poisson equation and diffusion approximation. I ⋮ Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain ⋮ Linear oblique derivative problems for the uniformly elliptic Hamilton- Jacobi-Bellman equation ⋮ General change of variable formulas for semimartingales in one and finite dimensions ⋮ Solving forward-backward stochastic differential equations explicitly -- a four step scheme ⋮ Diffusions with singular drift related to wave functions ⋮ On the Hamilton-Jacobi-Bellman equations ⋮ On dynamical systems perturbed by a null-recurrent motion: the general case ⋮ A propagation of chaos result for Burgers' equation ⋮ Monitoring cooperative equilibria in a stochastic differential game ⋮ Uniqueness and absolute continuity of weak solutions for parabolic SPDE's ⋮ On the General Notion of Fully Nonlinear Second-Order Elliptic Equations ⋮ The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate ⋮ Computational aspects in applied stochastic control ⋮ Strong \(p\)-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds ⋮ Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients. ⋮ Hedging with Residual Risk: A BSDE Approach ⋮ On finite-difference approximations for normalized Bellman equations ⋮ On nondegenerate quasilinear stochastic partial differential equations ⋮ Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games ⋮ Stochastic differential equations with singular coefficients on the straight line ⋮ The probabilistic structure of controlled diffusion processes ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ A Remark on Bony Maximum Principle ⋮ Singular HJB equations with applications to KPZ on the real line ⋮ On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets ⋮ A BSDE approach to stochastic differential games involving impulse controls and HJBI equation ⋮ Existence of strong solutions for Itô's stochastic equations via approximations ⋮ Convergence rates of Markov chain approximation methods for controlled diffusions with stopping ⋮ Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation ⋮ Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes ⋮ User’s guide to viscosity solutions of second order partial differential equations ⋮ Asymptotic for the principal eigenvalue and eigenfunction of a nearly first-order operator with large potential ⋮ The Peano phenomenon for Itō equations ⋮ Unnamed Item ⋮ Damped-driven KdV and effective equations for long-time behaviour of its solutions ⋮ Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market ⋮ Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility ⋮ Optimal stopping under ambiguity in continuous time ⋮ On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems ⋮ On stochastic equations with measurable coefficients driven by symmetric stable processes ⋮ Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions ⋮ Weak solutions of the Hamilton-Jacobi-Bellman equation ⋮ Integral representation of martingales motivated by the problem of endogenous completeness in financial economics ⋮ An impulsive control problem with state constraint ⋮ Subsolutions that are close in the uniform norm are close in the Sobolev norm as well ⋮ Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift ⋮ Financing policies via stochastic control: a dynamic programming approach ⋮ On the value function of weakly coercive problems in nonlinear stochastic control ⋮ Bifurcation in the presence of small noise ⋮ A semigroup expansion for pricing barrier options ⋮ Investors' preference for a positive tax rate depends on the level of the interest rate ⋮ On the uniqueness of a solution to the Bellman equation in Sobolev's classes ⋮ An approximation of small-time probability density functions in a general jump diffusion model ⋮ Martingale approach to stochastic differential games of control and stopping ⋮ Finite horizon portfolio selection with durable goods ⋮ New approach to stochastic optimal control ⋮ Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay ⋮ Variational inequalities in Hilbert spaces with measures and optimal stopping problems ⋮ Stochastic equations with time-dependent drift driven by Lévy processes ⋮ Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media ⋮ On Sobolev solutions of Poisson equations in \(\mathbb R^d\) with a parameter ⋮ Characterization of stochastic control with optimal stopping in a Sobolev space ⋮ Bayesian Quickest Detection Problems for Some Diffusion Processes ⋮ An HJB approach to a general continuous-time mean-variance stochastic control problem ⋮ The perspective of a bank in granting credits: an optimization model ⋮ On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients ⋮ Optimal robust mean-variance hedging in incomplete financial markets ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ A stochastic differential reinsurance game ⋮ Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes ⋮ BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion. ⋮ Viscosity solutions of monotonic functional parabolic PDE ⋮ The right time to sell a stock whose price is driven by Markovian noise ⋮ Homogenization of locally stationary diffusions with possibly degenerate diffusion matrix ⋮ Ergodic control of multidimensional diffusions. II: Adaptive control ⋮ A discretized version of Krylov's estimate and its applications ⋮ On homogenization of space-time dependent and degenerate random flows. II ⋮ Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift ⋮ On randomized stopping ⋮ Optimal stopping of a Brownian bridge with an unknown pinning point ⋮ Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach ⋮ OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION ⋮ Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem ⋮ Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions ⋮ Optimal portfolio for a small investor in a market model with discontinuous prices ⋮ Limiting behavior of the solution of the Cauchy problem for a parabolic equation ⋮ Compactification methods in the control of degenerate diffusions: existence of an optimal control ⋮ Applications of fixed-point methods to discrete variational and quasi- variational inequalities ⋮ Sur les équations de Monge-Ampère. I ⋮ Harnack inequalities for solutions of general second order parabolic equations and estimates of their Hölder constants ⋮ Optimal control of diffusion processes with terminal constraint in law ⋮ Iterative multilevel particle approximation for McKean-Vlasov SDEs ⋮ A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators ⋮ Invariant measures for multidimensional fractional stochastic volatility models ⋮ Mimicking the one-dimensional marginal distributions of processes having an Ito differential ⋮ Extremal holomorphic diffusion processes ⋮ Microscopic open systems ⋮ Stochastic differential games: Occupation measure based approach ⋮ Convex duality for finite-fuel problems in singular stochastic control
This page was built for publication: SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES