Controlled diffusion processes. Translated by A. B. Aries
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Publication:3532736
zbMATH Open1171.93004MaRDI QIDQ3532736FDOQ3532736
Publication date: 28 October 2008
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- On weak solutions of highly degenerate SDEs
- Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
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- Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
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- Invariant distributions and scaling limits for some diffusions in time-varying random environments
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- Zero-sum stochastic differential games of generalized McKean-Vlasov type
- Regularity properties in a state-constrained expected utility maximization problem
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- Large deviations for diffusions interacting through their ranks
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- BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
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- Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations
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- Robust feedback switching control: dynamic programming and viscosity solutions
- Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
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- Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
- Stochastic control related to branching diffusion processes
- Encounters with Martingales in Stochastic Control
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- Functional inequalities for forward and backward diffusions
- Generalised Lyapunov Functions and Functionally Generated Trading Strategies
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
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