scientific article
From MaRDI portal
Publication:3532736
zbMath1171.93004MaRDI QIDQ3532736
Publication date: 28 October 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nonlinear parabolic equations (35K55) Nonlinear elliptic equations (35J60) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)
Related Items (47)
Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow ⋮ Regularity properties in a state-constrained expected utility maximization problem ⋮ On weak solutions of highly degenerate SDEs ⋮ Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality ⋮ Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ The stochastic reach-avoid problem and set characterization for diffusions ⋮ Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations ⋮ On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes ⋮ Optimal Investment with Time-Varying Stochastic Endowments ⋮ Encounters with Martingales in Stochastic Control ⋮ Optimal stopping contract for public private partnerships under moral hazard ⋮ Invariance principle for non-homogeneous random walks ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics ⋮ Functional inequalities for forward and backward diffusions ⋮ On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions ⋮ Martingale Optimal Transport with Stopping ⋮ Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping ⋮ Representation formula for viscosity solution to a PDE problem involving Pucci's extremal operator ⋮ Localization errors in solving stochastic partial differential equations in the whole space ⋮ Invariant distributions and scaling limits for some diffusions in time-varying random environments ⋮ Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints ⋮ Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent ⋮ Stochastic differential games with a varying number of players ⋮ Forward-backward stochastic differential equation games with delay and noisy memory ⋮ An Alexandrov-Bakelman-Pucci estimate for an anisotropic Laplacian with positive drift in unbounded domains ⋮ Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics ⋮ On Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov Equation ⋮ Zero-sum stochastic differential games of generalized McKean-Vlasov type ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients ⋮ A Pseudo-Markov Property for Controlled Diffusion Processes ⋮ Generalised Lyapunov Functions and Functionally Generated Trading Strategies ⋮ Large Deviations for Diffusions Interacting Through Their Ranks ⋮ Optimal expulsion and optimal confinement of a Brownian particle with a switching cost ⋮ Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions ⋮ A continuous time tug-of-war game for parabolic p(x,t)-Laplace-type equations ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ Quadratic transportation inequalities for SDEs with measurable drift ⋮ Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control ⋮ Certain Liouville properties of eigenfunctions of elliptic operators ⋮ Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations ⋮ Elliptic 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 centuries ⋮ Ergodic risk-sensitive control for regime-switching diffusions
This page was built for publication: