Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
From MaRDI portal
Publication:2441319
DOI10.1007/s00184-013-0476-2zbMath1455.49015MaRDI QIDQ2441319
Publication date: 24 March 2014
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-013-0476-2
49L20: Dynamic programming in optimal control and differential games
90C05: Linear programming
90C39: Dynamic programming
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Continuous-time stochastic control and optimization with financial applications
- Reward functionals, salvage values, and optimal stopping
- Stochastic calculus for finance. II: Continuous-time models.
- Numerical solution of a long-term average control problem for singular stochastic processes
- Controlled Markov processes and viscosity solutions
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- On the optimal stopping problem for one-dimensional diffusions.
- On the Existence of Optimal Controls
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
- Optimal Stopping of One-Dimensional Diffusions
- Viscosity Solutions of Hamilton-Jacobi Equations
- User’s guide to viscosity solutions of second order partial differential equations
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- Linear Programming Formulation for Optimal Stopping Problems
- On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
- Stochastic differential equations. An introduction with applications.
