Pages that link to "Item:Q3162580"

The following pages link to Stochastic Target Problems with Controlled Loss (Q3162580):

Displaying 44 items.

• Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets (Q255791) (← links)
• The stochastic reach-avoid problem and set characterization for diffusions (Q290823) (← links)
• Almost-sure hedging with permanent price impact (Q309172) (← links)
• Stochastic Perron for stochastic target problems (Q328468) (← links)
• Optimal control versus stochastic target problems: an equivalence result (Q414574) (← links)
• Outperforming the market portfolio with a given probability (Q453241) (← links)
• Hedging under multiple risk constraints (Q522054) (← links)
• Portfolio insurance under a risk-measure constraint (Q654812) (← links)
• Optimality conditions in variational form for non-linear constrained stochastic control problems (Q827552) (← links)
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746) (← links)
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
• Reaching goals under ambiguity: continuous-time optimal portfolio selection (Q1640926) (← links)
• Dynamic approaches for some time-inconsistent optimization problems (Q1704140) (← links)
• A verification theorem for optimal stopping problems with expectation constraints (Q1734287) (← links)
• Two approaches to stochastic optimal control problems with a final-time expectation constraint (Q1754665) (← links)
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827) (← links)
• Optimal control of diffusion processes with terminal constraint in law (Q2082225) (← links)
• Stochastic optimal control in infinite dimensions with state constraints (Q2157306) (← links)
• On dynamic programming principle for stochastic control under expectation constraints (Q2188945) (← links)
• Quenched mass transport of particles toward a target (Q2194119) (← links)
• A level-set approach for stochastic optimal control problems under controlled-loss constraints (Q2198527) (← links)
• A lending scheme for a system of interconnected banks with probabilistic constraints of failure (Q2203046) (← links)
• On the controller-stopper problems with controlled jumps (Q2318101) (← links)
• BSDEs with weak terminal condition (Q2338910) (← links)
• Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control (Q2398476) (← links)
• Stochastic target games with controlled loss (Q2454400) (← links)
• Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions (Q2800366) (← links)
• A Backward Dual Representation for the Quantile Hedging of Bermudan Options (Q2808185) (← links)
• State-Constrained Stochastic Optimal Control Problems via Reachability Approach (Q2822794) (← links)
• A Stochastic Target Approach for P&L Matching Problems (Q2925345) (← links)
• Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
• PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT (Q4555858) (← links)
• TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION (Q4990918) (← links)
• Partial hedging and cash requirements in discrete time (Q5001180) (← links)
• Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints (Q5241902) (← links)
• PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (Q5262511) (← links)
• A Numerical Scheme for the Quantile Hedging Problem (Q5853613) (← links)
• A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times (Q6072905) (← links)
• Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space (Q6105325) (← links)
• A stochastic target problem for branching diffusion processes (Q6123265) (← links)
• Optimal stopping with expectation constraints (Q6126790) (← links)
• Mean viability theorems and second-order Hamilton-Jacobi equations (Q6555692) (← links)
• Stochastic control/stopping problem with expectation constraints (Q6615478) (← links)