Dynamic programming for multidimensional stochastic control problems
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Cites work
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
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- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- A class of singular stochastic control problems
- Absolutely continuous and singular stochastic control†
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Optimal correction problem of a multidimensional stochastic system
- Optimal investment and consumption with transaction costs
- Portfolio Selection with Transaction Costs
- Singular Optimal Stochastic Controls I: Existence
- Singular Optimal Stochastic Controls II: Dynamic programming
- Some solvable stochastic control problemst†
- User’s guide to viscosity solutions of second order partial differential equations
- Zero-sum differential games involving impulse controls
- discontinuous reflection, and a class of singular stochastic control problems for diffusions
Cited in
(34)- scientific article; zbMATH DE number 736280 (Why is no real title available?)
- Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
- On the value function of weakly coercive problems in nonlinear stochastic control
- Convex solutions to variational inequalities and multidimensional singular control
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
- The dynamic programming equation for a stochastic volatility optimal control problem
- On singular control problems with state constraints and regime-switching: a viscosity solution approach
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
- Multi-time dynamic programming and Riccati equations
- A multidimensional singular stochastic control problem on a finite time horizon
- AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
- Dynamic programming for mean-field type control
- Generalized dynamic programming principle and sparse mean-field control problems
- Multitime dynamic programming for curvilinear integral actions
- Singular Optimal Stochastic Controls II: Dynamic programming
- scientific article; zbMATH DE number 1054948 (Why is no real title available?)
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Dynamic programming principle for stochastic control problems driven by general Lévy noise
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems
- On the continuity of stochastic exit time control problems
- Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems
- Allocation of Control Points in Stochastic Dynamic-Programming Models
- Stochastic control problems for systems driven by normal martingales
- On a class of singular stochastic control problems
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- HJB equations for certain singularly controlled diffusions
- An HJB approach to a general continuous-time mean-variance stochastic control problem
- On singular stochastic control problems for diffusion with jumps
- Multitime dynamic programming for multiple integral actions
- A multidimensional stochastic singular control problem via Dynkin game and Dirichlet form
- Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
- Stochastic Dynamic Programming and Control of Markov Processes
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