Bellman function in stochastic control and harmonic analysis
In the first section entitled ``Bellman equation for stochastic optimal control, the authors state that the goal of this paper is methodological. They want to consider the equation of stochastic processes in the concept of Bellman function. See the authors' paper [J. Am. Math. Soc. 12, No. 4, 909-928 (1999; Zbl 0951.42007)] and \textit{F. L. Nazarov} and \textit{S. P. Treil'} [St. Petersbg. Math. J. 8, No. 5, 721-824 (1997); translation from Algebra Anal. 8, No. 5, 32-132 (1996; Zbl 0873.42011)]. The authors want also to connect the ideas behind the construction of Burkholder's function \(b(x,y)= (|x|+ (p-1)|y|+|y|^{p-1}\) to the concept of the Bellman equation. For general stochastic processes see the book of \textit{N. V. Krylov} [``Controlled diffusion processes (1980; Zbl 0459.93002)]. Let \(x^t\) be a stochastic process in \(\mathbb{R}^d\), satisfying the integral equation \[ x^t= x+\int^t_0 \sigma(\alpha^s, x^s) dw^s+ \int^t_0 b(\alpha^s, x^s) ds.\tag{1} \] The choice of the stochastic process \(\alpha^s\) gives different ``motions-different solutions of (1). The problem on existence and uniqueness of the solution exists and is unique. The optimal average gain is what is called the Bellman function for stochastic control: \(v(x)= \sup_\alpha v^\alpha(x)\). The deduction of the Bellman equation for the stochastic optimal control is based on two things: Bellman's principle, Itô's formula. Section 2 is devoted to the harmonic analysis Bellman function and Section 3 treats new creatures from Bellman's zoo. In Section 4 the authors study the Burkholder meets Bellman and consider the Bellman equation for Burkholder's theorem. The conclusions of the paper are very interesting. For the entire collection see [Zbl 0972.00051].
- Bellman approach to some problems in harmonic analysis
- The Bellman function technique in harmonic analysis
- Uniqueness of the solution of Bellman's equation in the case of general controlled processes
- Control of diffusion processes in \(\mathbb R^N\)
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- On time-inhomogeneous controlled diffusion processes in domains
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- An auxiliary equation for the Bellman equation in a one-dimensional ergodic control
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- Bellman functions in the optimization of dynamic systems under uncertainty
- Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
- Sharp Lorentz estimates for dyadic-like maximal operators and related Bellman functions
- The Bellman functions of dyadic-like maximal operators and related inequalities
- The Bellman function, the two-weight Hilbert transform, and embeddings of the model spaces \(K_\theta\)
- The foundational inequalities of D. L. Burkholder and some of their ramifications
- Burkholder's function via Monge-Ampère equation
- Orthogonality in complex martingale spaces and connections with the Beurling-Ahlfors transform
- Subordination by conformal martingales in \(L^{p}\) and zeros of Laguerre polynomials
- A sharp Bernstein-type inequality and application to the Carleson embedding theorem with matrix weights
- Burkholder meets Gundy: Bellman function method for general operators on martingales
- Bilinear embedding for divergence-form operators with complex coefficients on irregular domains
- A generalization of the Carleson lemma and weighted norm inequalities for the maximal functions in the Orlicz setting
- Sharp multiplicative inequalities with BMO I
- Convexity of power functions and bilinear embedding for divergence-form operators with complex coefficients
- One modification of the martingale transform and its applications to paraproducts and stochastic integrals
- Local lower norm estimates for dyadic maximal operators and related Bellman functions
- Extremizers and sharp weak-type estimates for positive dyadic shifts
- A sharp integral rearrangement inequality for the dyadic maximal operator and applications
- Sharp integral inequalities for the dyadic maximal operator and applications
- Theory of locally concave functions and its applications to sharp estimates of integral functionals
- Haar multipliers meet Bellman functions
- Bilinear embedding in Orlicz spaces for divergence-form operators with complex coefficients
- Bellman vs. Beurling: sharp estimates of uniform convexity for L^p spaces
- Sharp local lower L^p-bounds for dyadic-like maximal operators
- Burkholder integrals, Morrey's problem and quasiconformal mappings
- New Bellman functions and subordination by orthogonal martingales in \(L^p\), \(1 < p\leq 2\)
- Sharp results in the integral-form John-Nirenberg inequality
- Dyadic harmonic analysis and weighted inequalities: the sparse revolution
- Dyadic-like maximal operators on integrable functions and Bellman functions related to Kolmogorov’s inequality
- Sharp inequalities for dyadic \(A_1\) weights
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- The sharp constant in the reverse Hölder inequality for Muckenhoupt weights
- A weighted maximal inequality for differentially subordinate martingales
- Parabolic Bellman equations with risk control
- Square functions and the Hamming cube: duality
- Bellman Function for Extremal Problems in BMO II: Evolution
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- Bobkov’s Inequality via Optimal Control Theory
- Superexponential estimates and weighted lower bounds for the square function
- An eigenfunction stability estimate for approximate extremals of the Bellman function for the dyadic maximal operator on \(L^{p}\)
- Extremal sequences for the Bellman function of three variables of the dyadic maximal operator related to Kolmogorov's inequality
- Bellman approach to some problems in harmonic analysis
- Bellman function for the estimates of Littlewood--Paley type and asymptotic estimates in the p-1 problem
- Sharpening Hölder's inequality
- Trilinear embedding for divergence-form operators with complex coefficients
- Two-weight dyadic Hardy inequalities
- Survey article: A user's guide to Bellman functions
- Matrix weights and a maximal function with exponent 3/2
- Bellman function for Hardy's inequality over dyadic trees
- The sharp A_p constant for weights in a reverse-Hölder class
- Dyadic-like maximal operators on \(L \log L\) functions
- On weak type inequalities for dyadic maximal functions
- Sharp general local estimates for dyadic-like maximal operators and related Bellman functions
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