Optimal stochastic control, stochastic target problems, and backward SDE.
From MaRDI portal
Publication:424646
DOI10.1007/978-1-4614-4286-8zbMATH Open1256.93008OpenAlexW592962635MaRDI QIDQ424646FDOQ424646
Publication date: 4 June 2012
Published in: Fields Institute Monographs (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-4286-8
Recommendations
- Stochastic optimisation and control applied to finance
- Applied stochastic control of jump diffusions
- Controlled Markov processes and viscosity solutions
- Optimal investment
- scientific article; zbMATH DE number 1066231
- Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
- scientific article; zbMATH DE number 1341814
- scientific article; zbMATH DE number 2174796
- scientific article; zbMATH DE number 2064643
dynamic programmingbackward stochastic differential equationfinancial mathematicsfinite difference methodHamilton-Jacobi-Bellman equationoptimal stochastic controlquantile hedgingviscosity solutionBlack-Scholes modelilliquiditystochastic target problemIto's formulaquantitative financesuperhedging problem
Dynamical systems in optimization and economics (37N40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
Cited In (only showing first 100 items - show all)
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- Central limit theorem under uncertain linear transformations
- Structure of intergenerational risk-sharing plans: optimality and fairness
- Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators
- Facelifting in utility maximization
- Aircraft Trajectory Optimization for Collision Avoidance Using Stochastic Optimal Control
- A pseudo-Markov property for controlled diffusion processes
- A viscosity solution method for optimal stopping problems with regime switching
- Applications of Markov chain approximation methods to optimal control problems in economics
- Machine learning for semi linear PDEs
- Optimal learning before choice
- Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
- Lp (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals
- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
- Asymptotic expansion for forward-backward SDEs with jumps
- Semimartingales on rays, Walsh diffusions, and related problems of control and stopping
- Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping
- Pairs trading with illiquidity and position limits
- Regularity properties in a state-constrained expected utility maximization problem
- Distribution‐constrained optimal stopping
- Analysis of an optimal stopping problem arising from hedge fund investing
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Linear backward stochastic differential equations with Gaussian Volterra processes
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- Two approaches to stochastic optimal control problems with a final-time expectation constraint
- Optimal control of branching diffusion processes: a finite horizon problem
- The stochastic reach-avoid problem and set characterization for diffusions
- Stochastic Perron for stochastic target games
- Some results on general quadratic reflected BSDEs driven by a continuous martingale
- Phase transitions arising in stochastic ergodic control associated with viscous Hamilton-Jacobi equations with bounded inward drift
- Bounded solutions for general time interval BSDEs with quadratic growth coefficients and stochastic conditions
- Title not available (Why is that?)
- Probabilistic error analysis for some approximation schemes to optimal control problems
- State-constrained stochastic optimal control problems via reachability approach
- A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
- Risk-sensitive mean field games via the stochastic maximum principle
- Zubov's method for controlled diffusions with state constraints
- A Probabilistic Representation for the Value of Zero-Sum Differential Games with Incomplete Information on Both Sides
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
- Valuation of an early exercise defined benefit underpin hybrid pension
- Regular finite fuel stochastic control problems with exit time
- An efficient numerical algorithm for solving data driven feedback control problems
- Causal transport plans and their Monge–Kantorovich problems
- Optimal control versus stochastic target problems: an equivalence result
- Optimal Market Making with Persistent Order Flow
- Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics
- Optimal dividends in the dual model under transaction costs
- Optimal investment in markets with over and under-reaction to information
- A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
- Title not available (Why is that?)
- High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors
- LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT
- Verification by stochastic Perron's method in stochastic exit time control problems
- Dynamic programming for mean-field type control
- Equilibrium Pricing Under Relative Performance Concerns
- Equilibrium asset pricing with transaction costs
- On \(L^p\)-viscosity solutions of bilateral obstacle problems with unbounded ingredients
- PDE methods for optimal Skorokhod embeddings
- Utility-Deviation-Risk Portfolio Selection
- A type of globally solvable BSDEs with triangularly quadratic generators
- Liquidity risk and optimal dividend/investment strategies
- Multiscale coupling and the maximum of \(\mathcal{P}(\phi)_2\) models on the torus
- Utility maximisation in a factor model with constant and proportional transaction costs
- Dynamic programming for mean-field type control
- Nesting Monte Carlo for high-dimensional non-linear PDEs
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- Optimal soaring via Hamilton-Jacobi-Bellman equations
- Continuity of the value function for deterministic optimal impulse control with terminal state constraint
- On the controller-stopper problems with controlled jumps
- SDEs with no strong solution arising from a problem of stochastic control
- Parameter identification for portfolio optimization with a slow stochastic factor
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- A PRINCIPAL–AGENT APPROACH TO CAPACITY REMUNERATION MECHANISMS
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Existence and uniqueness of mild solution of time-fractional semilinear differential equations with a nonlocal final condition
- HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT
- Optimal Execution: A Review
- AHEAD: \textit{ad hoc} electronic auction design
- Partial hedging in rough volatility models
- On Regularized Optimal Execution Problems and Their Singular Limits
- Stochastic Dynamic Programming and Control of Markov Processes
- The Optimal Interaction between a Hedge Fund Manager and Investor
- Recursively feasible stochastic model predictive control using indirect feedback
- Similarity heuristics for clustering wells based on logging-data
- An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians
- Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
- A Random-Supply Mean Field Game Price Model
- Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model
- DeLISA: deep learning based iteration scheme approximation for solving PDEs
- Horizon effect on optimal retirement decision
- On the time discretization of stochastic optimal control problems: The dynamic programming approach
- Designing universal causal deep learning models: The geometric (Hyper)transformer
- A general framework to simulate diffusions with discontinuous coefficients and local times
- A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory
- Volatility uncertainty quantification in a stochastic control problem applied to energy
- Solving discrete first-order matrix linear control problems with general parametric uncertainties: a probability-density-based approach
- Numerical approximation of Dynkin games with asymmetric information
This page was built for publication: Optimal stochastic control, stochastic target problems, and backward SDE.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424646)
