Controlled Markov processes and viscosity solutions
From MaRDI portal
Publication:2492615
DOI10.1007/0-387-31071-1zbMath1105.60005OpenAlexW4210791600MaRDI QIDQ2492615
Halil Mete Soner, Wendell H. Fleming
Publication date: 14 June 2006
Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/0-387-31071-1
Hamilton-Jacobi-Bellman equationdynamic programmingstochastic differential equationscontrol problemscontrolled Markov diffusion processesinfinitesimal generator of semigroupstheory of viscosity solutionstwo-controller zero-sum differential games
Continuous-time Markov processes on general state spaces (60J25) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (only showing first 100 items - show all)
Discontinuous Galerkin finite element methods for time-dependent Hamilton-Jacobi-Bellman equations with Cordes coefficients ⋮ Optimal inventory control with path-dependent cost criteria ⋮ Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling ⋮ Optimal life-insurance selection and purchase within a market of several life-insurance providers ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. ⋮ On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint ⋮ An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis ⋮ The stochastic reach-avoid problem and set characterization for diffusions ⋮ Backward SDE representation for stochastic control problems with nondominated controlled intensity ⋮ Dividend maximization in a hidden Markov switching model ⋮ Portfolio optimization in a regime-switching market with derivatives ⋮ Perturbative calculation of quasi-potential in non-equilibrium diffusions: a mean-field example ⋮ Liouville properties and critical value of fully nonlinear elliptic operators ⋮ Stochastic optimal control to a nonlinear differential game ⋮ Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II ⋮ Maximum principle for controlled fractional Fokker-Planck equations ⋮ Time-inconsistent multistage stochastic programs: martingale bounds ⋮ The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach ⋮ A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ An optimal consumption-investment model with constraint on consumption ⋮ Regular finite fuel stochastic control problems with exit time ⋮ Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation ⋮ An optimal control model of carbon reduction and trading ⋮ Mathematical analysis and validation of an exactly solvable model for upstream migration of fish schools in one-dimensional rivers ⋮ Utility maximization in an illiquid market in continuous time ⋮ Application of variational iteration method for Hamilton-Jacobi-Bellman equations ⋮ Maximum principle for general controlled systems driven by fractional Brownian motions ⋮ Representation formula for the entropy and functional inequalities ⋮ Pathwise strategies for stochastic differential games with an erratum to ``Stochastic differential games with asymmetric information ⋮ Robust maximization of asymptotic growth under covariance uncertainty ⋮ Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic ⋮ Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem ⋮ On a PDE arising in one-dimensional stochastic control problems ⋮ Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls ⋮ Abandonment versus blocking in many-server queues: asymptotic optimality in the QED regime ⋮ The vanishing viscosity limit for Hamilton-Jacobi equations on networks ⋮ Dynamic programming for a Markov-switching jump-diffusion ⋮ An optimal portfolio model with stochastic volatility and stochastic interest rate ⋮ Vanishing moment method and moment solutions for fully nonlinear second order partial differential equations ⋮ Markov perfect Nash equilibria in models with a single capital stock ⋮ Optimal stopping under nonlinear expectation ⋮ Optimal control versus stochastic target problems: an equivalence result ⋮ Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems ⋮ An ENO-based method for second-order equations and application to the control of dike levels ⋮ A (rough) pathwise approach to a class of non-linear stochastic partial differential equations ⋮ Optimal control with random parameters: a multiscale approach ⋮ Consumption utility-based pricing and timing of the option to invest with partial information ⋮ Optimal financing and dividend control in the dual model ⋮ Optimal selling rule in a regime switching Lévy market ⋮ Backward stochastic differential equations with rough drivers ⋮ Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations ⋮ Subsolutions that are close in the uniform norm are close in the Sobolev norm as well ⋮ Parabolic variational inequality with parameter and gradient constraints ⋮ Optimal control of the risk process in a regime-switching environment ⋮ Dynamic programming and viscosity solutions for the optimal control of quantum spin systems ⋮ Small-time asymptotics for fast mean-reverting stochastic volatility models ⋮ An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients ⋮ Analysis of Galerkin methods for the fully nonlinear Monge-Ampère equation ⋮ A consumption-investment problem with heterogeneous discounting ⋮ Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment ⋮ Optimal portfolios in commodity futures markets ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ Optimal investment and excess of loss reinsurance with short-selling constraint ⋮ A reduced complexity MIN-plus solution method to the optimal control of closed quantum systems ⋮ Ruin probabilities under general investments and heavy-tailed claims ⋮ Nash points for nonzero-sum stochastic differential games with separate Hamiltonians ⋮ Non-constant discounting and differential games with random time horizon ⋮ Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints ⋮ Optimal proportional reinsurance with common shock dependence ⋮ Nonequilibrium Markov processes conditioned on large deviations ⋮ Generalized semiconcavity of the value function of a jump diffusion optimal control problem ⋮ A doubly nonlinear evolution for the optimal Poincaré inequality ⋮ Dynamic pricing and periodic ordering for a stochastic inventory system with deteriorating items ⋮ A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs ⋮ Stochastic optimal control via forward and backward stochastic differential equations and importance sampling ⋮ Explicit formula for the optimal government debt ceiling ⋮ Suboptimal feedback control of PDEs by solving HJB equations on adaptive sparse grids ⋮ Stochastic homogenization of viscous superquadratic Hamilton-Jacobi equations in dynamic random environment ⋮ Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions ⋮ Characterization of stochastic control with optimal stopping in a Sobolev space ⋮ Extremal shift rule for continuous-time zero-sum Markov games ⋮ A numerical approach to optimal dividend policies with capital injections and transaction costs ⋮ Optimality of \((s,S)\) policies with nonlinear processes ⋮ An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint ⋮ Entropy solution theory for fractional degenerate convection-diffusion equations ⋮ On the splitting-up method for rough (partial) differential equations ⋮ Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force ⋮ On quadratic approximations for Hamilton-Jacobi-Bellman equations ⋮ The maximum principle for stochastic differential systems with general cost functional ⋮ Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations ⋮ Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets ⋮ Large deviations for some fast stochastic volatility models by viscosity methods ⋮ Asymptotic problems in optimal control with a vanishing Lagrangian and unbounded data ⋮ Control of dynamical systems with discrete and uncertain observations ⋮ Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations ⋮ On the construction of nonconvex approximations to reach sets of piecewise linear systems ⋮ Uncertainty and inside information
This page was built for publication: Controlled Markov processes and viscosity solutions
