Existence of Optimal Stochastic Control Laws
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(45)- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- The probabilistic structure of controlled diffusion processes
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- On the existence of optimal partially observed controls
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- Existence results for optimal stochastic controls
- Generalized Neyman-Pearson lemma via convex duality.
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- scientific article; zbMATH DE number 3554125 (Why is no real title available?)
- Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems
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- Zero-sum path-dependent stochastic differential games in weak formulation
- Optimal control of diffusion processes with reflection
- Optimal consumption choices for a `large' investor
- Flows for singular stochastic differential equations with unbounded drifts
- Robust decentralized control of coupled systems via risk sensitive control of decoupled or simple models with measure change
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- Reflected BSDEs with random default time and related mixed optimal stopping-control problems
- Nonlinear semigroups and a characterization of the value process in stochastic control
- Optimal self-protection via BSDEs for risk models with jump clusters
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- A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
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- Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
- Beneš condition for a discontinuous exponential martingale
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