scientific article; zbMATH DE number 3651302

MaRDI QIDQ3851206zbMATH OpenFDO

Authors Makiko Nisio

Publication date 1978

zbMATH Keywords

Bellman principleMarkovian semi-groupsnon-linear semi- groupstochastic optimal controls

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited in

(10)

• The probabilistic structure of controlled diffusion processes
• On nonlinear semigroups for Markov processes associated with optimal stopping
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Risk-sensitive control and an abstract Collatz-Wielandt formula
• Large deviation principle for the greedy exploration algorithm over Erdős-Rényi graphs
• A variational formula for risk-sensitive reward
• G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics
• Filtration consistent nonlinear expectations and evaluations of contingent claims

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3851206)