scientific article

zbMath0773.60070MaRDI QIDQ4032143

Wendell H. Fleming, Halil Mete Soner

Publication date: 25 April 1993

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingstochastic differential equationscontrol problemscontrolled Markov diffusion processesinfinitesimal generator of semigroupstheory of viscosity solutions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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controls, Analysis of linear parameter-varying systems using a non-smooth dissipative systems framework, On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations, Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest, Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs, ON THE CONVEXITY OF VALUE FUNCTIONS FOR A CERTAIN CLASS OF STOCHASTIC DYNAMIC PROGRAMMING PROBLEM, A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS, OPTIMAL EXPLOITATION OF RENEWABLE RESOURCES BY THE VISCOSITY SOLUTION METHOD, Stochastic differential games involving impulse controls, Unnamed Item, Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model, A uniqueness result on cauchy problem related to jump-type markov processes with unbounded characteristics, When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?, Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities, Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability, Optimal soaring via Hamilton-Jacobi-Bellman equations, Optimal investment strategies for general utilities under dynamic elasticity of variance models, Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio, Model-based pairs trading in the bitcoin markets, A Differential Game Model for The Extraction of Nonrenewable Resources with Random Initial Times — The Cooperative and Competitive Cases, Optimal reinsurance problems with extrapolative claim expectation, OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE, Existence of singular optimal control laws for stochastic differential equations, A singular stochastic control problem in an unbounded domain, The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems, Well-posedness criteria in optimization with application to the calculus of variations, Direct computation of multivalued phase space solutions for Hamilton-Jacobi equations, Viscosity Solutions of the Bellman Equation for Exit Time Optimal Control Problems with Non-Lipschitz Dynamics, Optimal Cross Hedging of Insurance Derivatives, Stochastic Optimal Control for the Stochastic Heat Equation with Exponentially Growing Coefficients and with Control and Noise on a Subdomain, ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES, On gradients of approximate travelling waves for generalised KPP equations, Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy, Unnamed Item, On consistent regularities of control and value functions, Viscosity solutions methods for converse KAM theory, Sub- and superoptimality principles of dynamic programming revisited, Nonlinear Parabolic Equations Arising in Mathematical Finance, Indifference Pricing in a Market with Transaction Costs and Jumps, A Fokker-Planck Based Approach to Control Jump Processes, Capital adequacy and risk management in banking industry, Mixed Finite Element Approximation of the Hamilton--Jacobi--Bellman Equation with Cordes Coefficients, Hope-lax type formular foru∞t+Hu,Du=0:II, Contracting Theory with Competitive Interacting Agents, Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit, Problems of Mathematical Finance by Stochastic Control Methods, On singularities in solutions to the Hamilton-Jacobi-Bellman equation, The L∞ control problem with continuous control functions, LIQUIDITY IN A BINOMIAL MARKET, Ergodic Problems for Viscous Hamilton--Jacobi Equations with Inward Drift, Asymptotic behavior of the first exit times of randomly perturbed dynamical systems with unstable equilibrium points, Numerical Methods for Non-Linear Black–Scholes Equations, Optimal selection portfolio problem: a semi-linear PDE approach, A condition on the value function both necessary and sufficient for full regularity of minimizers of one-dimensional variational problems, Optimal Risk Control for The Excess of Loss Reinsurance Policies, INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK, Unnamed Item, Unnamed Item, AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS, ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET, Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization, PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT, Asymptotic behaviour of stochastic quasi dissipative systems, Receding horizon optimal control for infinite dimensional systems, On the existence of solution to one–dimensional forward–backward sdes, Optimal expected exponential utility of dividend payments in a Brownian risk model, OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL, An approximation scheme for the optimal control of diffusion processes, A class of solvable singular stochastic control problems, Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility, The problem of measurement feedback control, Dynamic Pricing of General Insurance in a Competitive Market, Life Annuitization: Why and how Much?, A quasilinear elliptic equation in ℝ^N, Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility, Portfolio Optimization with Stochastic Volatilities: A Backward Approach, Approximation of Optimal Reinsurance and Dividend Payout Policies, Optimal investment and proportional reinsurance with constrained control variables, OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED, SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL, The Dirichlet problem for the convex envelope, OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL, Class of skew-distributions: theory and applications in biology, Subdifferentials of Nonconvex Integral Functionals in Banach Spaces with Applications to Stochastic Dynamic Programming, Semigeodesics and the minimal time function, Graph selectors and viscosity solutions on Lagrangian manifolds, Stochastic homogenization of Hamilton-Jacobi-Bellman equations, STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD, Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo, Variational Inequalities for Combined Control and Stopping Game, Optimal control of a stochastic heat equation with boundary-noise and boundary-control, ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS, The convex envelope is the solution of a nonlinear obstacle problem, Infinite time regular synthesis, Sufficient conditions for infinite-horizon calculus of variations problems, Optimal proportional reinsurance policies for diffusion models, Continuous-time stochastic modelling of capital adequacy ratios for banks, Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory, On a variational inequality associated with a stopping game combined with a control, Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market, A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria, Error Estimates for a Tree Structure Algorithm Solving Finite Horizon Control Problems, Optimal Cross-Border Electricity Trading, A fast algorithm for the two dimensional HJB equation of stochastic control, The diagnostics of safety zones in motion planning, Near-resonance frequency control in the presence of random perturbations of parameters, Optimal investment and reinsurance problem with jump-diffusion model, Stochastic Control of Optimized Certainty Equivalents, Optimal asset allocation with restrictions on liquidity, Two-Sided Singular Control of an Inventory with Unknown Demand Trend, Solution of a parabolic Hamilton-Jacobi type equation determined by a simple boundary singularity, Singularity formation and regularization at multiple times in the viscous Hamilton–Jacobi equation, MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES, Optimal portfolio and reinsurance with two differential risky assets, The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies, Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model, Learning and equilibrium transitions: stochastic stability in discounted stochastic fictitious play, Backward multivalued McKean-Vlasov SDEs and associated variational inequalities, On a problem of calculating the solvability set for a linear system with uncertainty, Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks, An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon, Mean-variance portfolio selection under no-shorting rules: a BSDE approach, Measuring the suboptimality of dividend controls in a Brownian risk model, Proportional reinsurance and investment in multiple risky assets under borrowing constraint, CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS, OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET, Error Analysis for POD Approximations of Infinite Horizon Problems via the Dynamic Programming Approach, The Master Equation for Large Population Equilibriums, Singular perturbations for a subelliptic operator, A Singular Stochastic Control Problem with Interconnected Dynamics, PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER, Homogenization of Hamilton‐Jacobi‐Bellman equations with respect to time‐space shifts in a stationary ergodic medium, Ruin in the perturbed compound Poisson risk process under interest force, Smooth dynamics and computation in models of economic growth, Unnamed Item, Optimal risk control and dividend policies under excess of loss reinsurance, PRICING PRECIPITATION BASED DERIVATIVES, Dynamic approximation of a random information functional, Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility, Optimal Design of a Perpetual Equity-Indexed Annuity, OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK, Smooth dynamics and computation in models of economic growth, Solving a Hamilton–Jacobi–Bellman equation with constraints, Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model, Dynamic optimization for reachability problems., Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model, Optimal Dynamic Risk Control for Insurers with State-Dependent Income, Optimal environment management in the presence of irreversibilities, Reduced order feedback synthesis for viscous incompressible flows, Necessary conditions for optimal singular stochastic control problems, Optimal Consumption in a Growth Model with the CES Production Function, Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation, Differential equations. Transl. from the Russian, Dynamic approximation of a random information functional, Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs, Wealth optimization in an incomplete market driven by a jump-diffusion process, Dynamic portfolio selection with nonlinear transaction costs, On converse Lyapunov theorems for ISS and iISS switched nonlinear systems, Optimal Portfolio in a Regime-switching Model, OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH, Nonlinear monotone semigroups and viscosity solutions, Optimal investment for insurers, Comparison principle for the Cauchy problem for Hamilton-Jacobi equations with discontinuous data, Asymptotic behavior of the value functions of discrete-time discounted optimal control, An Efficient DP Algorithm on a Tree-Structure for Finite Horizon Optimal Control Problems, On Grid Optimal Feedbacks to Control Problems of Prescribed Duration on the Plane, On consumption/investment problems with long-term time-average utilities, Error bounds for a numerical solution for dynamic economic models, Optimal control of stochastic functional differential equations with a bounded memory, On dynamics of Lagrangian trajectories for Hamilton-Jacobi equations, Almost sure properties of controlled diffusions and worst case properties of deterministic systems, Continuous-Time Markov Decision Processes with Unbounded Transition and Discounted-Reward Rates, A stochastic control model of investment, production and consumption, Regularity and variationality of solutions to Hamilton-Jacobi equations. Part I: Regularity, Dynamic Programming Viscosity Solution Approach and Its Applications to Optimal Control Problems, On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients, NUMERICAL METHODS FOR DIFFERENTIAL GAMES BASED ON PARTIAL DIFFERENTIAL EQUATIONS, NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS, OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS, Optimal control of ultradiffusion processes with application to mathematical finance, First-Passage Distributions of Bidimensional Processes, Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems, Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes, OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION, OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS, On the multi-dimensional portfolio optimization with stochastic volatility, Optimal proportional reinsurance with a loss-dependent premium principle, Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control, Partial hedging and cash requirements in discrete time, Stochastic Differential Games and Intricacy of Information Structures, Stochastic deformation of integrable dynamical systems and random time symmetry, A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries, Impulse control of a diffusion with a change point, American option valuation in a stochastic volatility model with transaction costs, Ruin Minimization for Insurers with Borrowing Constraints, Relative Hedging of Systematic Mortality Risk, Numerical method for optimal portfolio in an exponential utility regime-switching model