scientific article

From MaRDI portal
Publication:3532736

zbMath1171.93004MaRDI QIDQ3532736

Nicolai V. Krylov

Publication date: 28 October 2008


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (47)

Optimal Stopping, Randomized Stopping, and Singular Control with General Information FlowRegularity properties in a state-constrained expected utility maximization problemOn weak solutions of highly degenerate SDEsOptimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequalityEigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusionsThe stochastic reach-avoid problem and set characterization for diffusionsDiffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck processAsymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equationsOn the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processesOptimal Investment with Time-Varying Stochastic EndowmentsEncounters with Martingales in Stochastic ControlOptimal stopping contract for public private partnerships under moral hazardInvariance principle for non-homogeneous random walksBackward SDEs and infinite horizon stochastic optimal controlMaster Bellman equation in the Wasserstein space: Uniqueness of viscosity solutionsRandomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamicsFunctional inequalities for forward and backward diffusionsOn Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic DiffusionsMartingale Optimal Transport with StoppingNonlinear PDE Approach to Time-Inconsistent Optimal StoppingRepresentation formula for viscosity solution to a PDE problem involving Pucci's extremal operatorLocalization errors in solving stochastic partial differential equations in the whole spaceInvariant distributions and scaling limits for some diffusions in time-varying random environmentsOptimal Consumption in the Stochastic Ramsey Problem without Boundedness ConstraintsStandard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistentStochastic differential games with a varying number of playersForward-backward stochastic differential equation games with delay and noisy memoryAn Alexandrov-Bakelman-Pucci estimate for an anisotropic Laplacian with positive drift in unbounded domainsInhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptoticsOn Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov EquationZero-sum stochastic differential games of generalized McKean-Vlasov typeBSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusionsA note on Euler approximations for SDEs with Hölder continuous diffusion coefficientsA Pseudo-Markov Property for Controlled Diffusion ProcessesGeneralised Lyapunov Functions and Functionally Generated Trading StrategiesLarge Deviations for Diffusions Interacting Through Their RanksOptimal expulsion and optimal confinement of a Brownian particle with a switching costRobust Feedback Switching Control: Dynamic Programming and Viscosity SolutionsA continuous time tug-of-war game for parabolic p(x,t)-Laplace-type equationsA fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systemsQuadratic transportation inequalities for SDEs with measurable driftAsymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and ControlCertain Liouville properties of eigenfunctions of elliptic operatorsExistence and uniqueness theorems for solutions of McKean–Vlasov stochastic equationsElliptic equations with VMO a, b$\in L_{d}$, and c$\in L_{d/2}$Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuriesErgodic risk-sensitive control for regime-switching diffusions




This page was built for publication: