Optimal Control on the L^\infty Norm of a Diffusion Process
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Optimal Control on the $L^\infty $ Norm of a Diffusion Process
Cited in
(15)- Optimal lifetime consumption and investment under a drawdown constraint
- Relaxation of minimax optimal control problems with infinite horizon
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- Correspondence between lifetime minimum wealth and utility of consumption
- Analytical binomial lookback options with double-exponential jumps
- Infinite horizon stochastic optimal control problems with running maximum cost
- Quickest detection of a hidden target and extremal surfaces
- NUMERICAL ANALYSIS OF A MINIMAX OPTIMAL CONTROL PROBLEM WITH AN ADDITIVE FINAL COST
- Russian options with a finite time horizon
- Optimal tracking portfolio with a ratcheting capital benchmark
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- A relaxed control problem with \(\mathbb{L}^\infty\) cost and jump dynamics motivated by cyber risks insurance
- An extended Merton problem with relaxed benchmark tracking
- Zubov's method for controlled diffusions with state constraints
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