DOI10.1007/s004409900044zbMath0971.65081MaRDI QIDQ1572879
Nicolai V. Krylov
Publication date: 12 March 2001
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Mean value theorems for stochastic integrals,
On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations,
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties,
Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps,
On finite-difference approximations for normalized Bellman equations,
A fitted finite volume method for stochastic optimal control problems in finance,
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II,
Characterization of the optimal trajectories for the averaged dynamics associated to singularly perturbed control systems,
Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions,
Optimal convergence rate of the explicit finite difference scheme for American option valuation,
SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms,
On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients,
Discrete ABP estimate and convergence rates for linear elliptic equations in non-divergence form,
A fast algorithm for the two dimensional HJB equation of stochastic control,
Qualitative properties of generalized principal eigenvalues for superquadratic viscous Hamilton-Jacobi equations,
Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control,
Stochastic control with rough paths,
Probabilistic error analysis for some approximation schemes to optimal control problems,
Convergence rates of Markov chain approximation methods for controlled diffusions with stopping,
On time-inhomogeneous controlled diffusion processes in domains,
High-order filtered schemes for time-dependent second order HJB equations,
Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem,
Discretisation of stochastic control problems for continuous time dynamics with delay,
A survey of numerical solutions for stochastic control problems: some recent progress,
On the LP formulation in measure spaces of optimal control problems for jump-diffusions,
Error estimates for approximations of nonhomogeneous nonlinear uniformly elliptic equations,
Hedging of Covered Options with Linear Market Impact and Gamma Constraint,
Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework,
Calibration of local‐stochastic volatility models by optimal transport,
PDE methods for optimal Skorokhod embeddings,
Numerical analysis of strongly nonlinear PDEs,
Rate of convergence for singular perturbations of Hamilton-Jacobi equations in unbounded spaces,
Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria,
Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality,
A finite difference method for a numerical solution of elliptic boundary value problems,
An efficient numerical method for the robust optimal investment problem with general utility functions,
Discontinuous control problems with state constraints: linear formulations and dynamic programming principles,
Approximation of solutions of Hamilton-Jacobi equations on the Heisenberg group,
A probabilistic numerical method for fully nonlinear parabolic PDEs,
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems,
Convergence of a semi-discretization scheme for the Hamilton-Jacobi equation: a new approach with the adjoint method,
Computable Primal and Dual Bounds for Stochastic Control,
On the rate of convergence of the binomial tree scheme for American options,
On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations,
Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions,
Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay,
Continuous dependence results for non-linear Neumann type boundary value problems,
Abel-type results for controlled piecewise deterministic Markov processes,
A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks,
Mayer and optimal stopping stochastic control problems with discontinuous cost,
Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes,
Error estimates for numerical approximation of Hamilton-Jacobi equations related to hybrid control systems,
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems,
Continuous dependence estimates for viscosity solutions of integro-PDEs,
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk,
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions,
Second-Order Stochastic Target Problems with Generalized Market Impact,
On randomized stopping,
Border Avoidance: Necessary Regularity for Coefficients and Viscosity Approach,
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians,
A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA,
Existence of asymptotic values for nonexpansive stochastic control systems,
Some non monotone schemes for Hamilton-Jacobi-Bellman equations,
Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints,
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains,
Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control,
Asymptotic Control for a Class of Piecewise Deterministic Markov Processes Associated to Temperate Viruses,
Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams,
A Numerical Scheme for the Quantile Hedging Problem,
Error estimates for approximations of nonlinear uniformly parabolic equations,
Optimality issues for a class of controlled singularly perturbed stochastic systems,
Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets,
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations,
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps,
Feynman-Kac representation of fully nonlinear PDEs and applications