Compactification methods in the control of degenerate diffusions: existence of an optimal control
From MaRDI portal
DOI10.1080/17442508708833443zbMATH Open0613.60051OpenAlexW2149081875WikidataQ126243637 ScholiaQ126243637MaRDI QIDQ4720486FDOQ4720486
Authors: Nicole El Karoui, Nguyen Huu Du, Monique Jeanblanc 
Publication date: 1987
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508708833443
Recommendations
uniform ellipticitydiffusions with jumpsstrong Markov processexistence of an optimal controlweak solution of a stochastic differential equationcontinuity type properties
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Cites Work
- Convex analysis and measurable multifunctions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Control of a Solution of a Stochastic Integral Equation
- Title not available (Why is that?)
- Weak and strong solutions of stochastic differential equations
- On stochastic relaxed control for partially observed diffusions
- On the Existence of Optimal Policies in Stochastic Control
- Semimartingales and Markov processes
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Changes of filtrations and of probability measures
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Internal Controls and Relaxed Controls
- Existence results for optimal stochastic controls
- ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
- Title not available (Why is that?)
- Survey of Measurable Selection Theorems: Russian Literature Supplement
- ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS
- Existence de Solution et Algorithme de Résolution Numérique, de Problème de Contrôle Optimal de Diffusion Stochastique Dégénérée ou Non
Cited In (only showing first 100 items - show all)
- On the existence of optimal controls for backward stochastic partial differential equations
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Second-order BSDEs with jumps: formulation and uniqueness
- On optimal control of forward-backward stochastic differential equations
- Superposition and mimicking theorems for conditional McKean-Vlasov equations
- A limit theorem for Markov decision processes
- The probabilistic structure of controlled diffusion processes
- On the existence of stochastic optimal control of distributed state system
- Mayer and optimal stopping stochastic control problems with discontinuous cost
- Optimal transportation under controlled stochastic dynamics
- Mean field games with singular controls
- Optimal arbitrage under model uncertainty
- Duality and approximation of stochastic optimal control problems under expectation constraints
- On repeated games with imperfect public monitoring: from discrete to continuous time
- \(N\)-player games and mean-field games with absorption
- Mean field games via controlled martingale problems: existence of Markovian equilibria
- Mean field games of timing and models for bank runs
- Stability of stochastic differential equations driven by multifractional Brownian motion
- Title not available (Why is that?)
- Stochastic control for a class of nonlinear kernels and applications
- Mean-field games of optimal stopping: a relaxed solution approach
- Optimal control of branching diffusion processes: a finite horizon problem
- Limit theory for controlled McKean-Vlasov dynamics
- A general optimality conditions for stochastic control problems of jump diffusions
- Martingale measures and partially observable diffusions
- Control and optimal stopping mean field games: a linear programming approach
- The relaxed general maximum principle for singular optimal control of diffusions
- Existence of an optimal control for stochastic control systems with nonlinear cost functional
- A topology for Markov controls
- A general characterization of the mean field limit for stochastic differential games
- The relaxed optimal control problem for mean-field SDEs systems and application
- Weak approximation of second-order BSDEs
- Exact and possible viability for controlled diffusions.
- Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
- Approximation and optimality necessary conditions in relaxed stochastic control problems
- A note on weak viability for controllled diffusion.
- Optimal securitization of credit portfolios via impulse control
- Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
- Near-relaxed control problem of fully coupled forward-backward doubly system
- Viability of an open set for stochastic control systems
- Title not available (Why is that?)
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Comparison between optimal costs for relaxed and non-relaxed control problems with jumps
- Necessary conditions for optimal singular stochastic control problems
- Stochastic control methods in optimal design of life testing
- Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient
- Approximation in optimal control of diffusion processes
- On the value function of weakly coercive problems in nonlinear stochastic control
- On extremal solutions to stochastic control problems
- Martingale measures and stochastic calculus
- Martingale approach to stochastic differential games of control and stopping
- Existence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equations
- Existence of optimal controls for systems driven by FBSDEs
- A constructive approach to existence of equilibria in time-inconsistent stochastic control problems
- Dynamic programming approach to principal-agent problems
- Title not available (Why is that?)
- Existence of the optimal control for stochastic boundary control problems governed by semilinear parabolic equations
- Existence of optimal controls for systems of controlled forward-backward doubly SDEs
- Encounters with Martingales in Stochastic Control
- Rate control under heavy traffic with strategic servers
- Existence of singular optimal control laws for stochastic differential equations
- Approximation of solutions of mean-field stochastic differential equations
- Optimal control of semilinear stochastic evolution equations
- \(N\)-player games and mean field games of moderate interactions
- On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
- Nonlinear continuous semimartingales
- Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries
- Existence and optimality conditions for relaxed mean-field stochastic control problems
- Large Sample Mean-Field Stochastic Optimization
- McKean-Vlasov optimal control: the dynamic programming principle
- The stochastic maximum principle for relaxed control problem with regime-switching
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation
- Optimal relaxed control of stochastic hereditary evolution equations with Lévy noise
- Extended mean field control problem: a propagation of chaos result
- Representation formulas for limit values of long run stochastic optimal controls
- A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
- Border avoidance: necessary regularity for coefficients and viscosity approach
- Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
- Stability of McKean-Vlasov stochastic differential equations and applications
- Mean field games with absorption and common noise with a model of bank run
- Stochastic control and compatible subsets of constraints
- Multiobjective stopping problem for discrete-time Markov processes: convex analytic approach
- The relaxed stochastic maximum principle in singular optimal control of jump diffusions
- Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning
- Title not available (Why is that?)
- On the relaxed mean-field stochastic control problem
- Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Stochastic control/stopping problem with expectation constraints
- Compactification in optimal control of McKean‐Vlasov stochastic differential equations
- Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
- Adjoint-based calibration of nonlinear stochastic differential equations
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls
- On the stability of mean-field stochastic differential equations with irregular expectation functional
- On optimal control of coupled mean-field forward-backward stochastic equations
- Mean field games with branching
- Submodular mean field games: existence and approximation of solutions
- Controlled diffusion mean field games with common noise and McKean-Vlasov second order backward SDEs
This page was built for publication: Compactification methods in the control of degenerate diffusions: existence of an optimal control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4720486)
