A Probabilistic Approach to the Generalized Hessian

DOI10.1287/MOOR.17.2.411MaRDI QIDQ4016702zbMATH OpenOpenAlexFDO

Authors Ulrich G. Haussmann

Publication date 16 January 1993

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.17.2.411

zbMATH Keywords

generalized Hessiannonsmooth functionsquadratic variation of Brownian motion

Mathematics Subject Classification ID

Continuity and differentiation questions (26B05) Nonsmooth analysis (49J52)

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Cited in

(8)

• Limiting behavior of the approximate second-order subdifferential of a convex function
• Generalized Hessian and external approximations in variational problems of second order
• Hessian eigenvalue distribution in a random Gaussian landscape
• Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
• A glimpse of a generalized Hessian operator
• Mean viability theorems and second-order Hamilton-Jacobi equations
• Dissipative control system for the stochastic nonlinear \(H^{\infty}\) problems
• Constructing a sequence of discrete Hessian matrices of an \(SC^{1}\) function uniformly convergent to the generalized Hessian matrix

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