scientific article; zbMATH DE number 3797647

Cited in

(only showing first 100 items - show all)

Asset liquidation under drift uncertainty and regime-switching volatility
CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
On the structure of discounted optimal stopping problems for one-dimensional diffusions
Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
Large Critical Exponents for Some Second Order Uniformly Elliptic Operators
Applicable stochastic control: From theory to practice
Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model
Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach
Intertemporal issues associated with the control of macro-economic systems
The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
Continuity Properties of Optimal Multiple Stopping Value
A system of parabolic variational inequalities associated with a stochastic switching game
Optimal control for n-person differential stochastic inclusions
On the numerical analysis of a nonlinear elliptic problem via mixed-FEM and Lagrange multi\-pliers.
The stochastic maximum principle for relaxed control problem with regime-switching
The relaxed stochastic maximum principle in singular optimal control of jump diffusions
Singular optimal control problems with recursive utilities of mean-field type
Primal mixed finite-element approximation of elliptic equations with gradient nonlinearities
Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
The mean squared loss control problem for a partially observed Markov chain
Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
Asymptotic analysis of variational inequalities with applications to optimum design in elasticity
Optimal control of ultradiffusion processes with application to mathematical finance
An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
General strongly nonlinear variational inequalities for multifunctions
A second-order stochastic maximum principle for generalized mean-field singular control problem
Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
Analytic expansion of the lyapunov exponent associated to the SchrÖDinger operator with random potential
Nested variational inequalities and related optimal multiple startingstopping problems for symmetric Markov processes
A model of hysteresis with two inputs
Pontryagin's maximum principle for optimal control of stochastic SEIR models
Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
A Markov decision process with convex reward and its associated stopping game
Representation formula for viscosity solution to a PDE problem involving Pucci's extremal operator
Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
Stochastic singular optimal control problem of switching systems with constraints
An unconstrained differentiable penalty method for implicit complementarity problems
A maximum principle for SDEs of mean-field type
Existence of value in stochastic differential games of mixed type
Generalized nonlinear variational inclusions with noncompact valued mappings
Second-order necessary conditions for optimal control with recursive utilities
Stochastic maximum principle in the mean-field controls
Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
Optimal multiple trading times under the exponential OU model with transaction costs
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
Stochastic hybrid control
General strongly nonlinear variational inequalities
The relaxed general maximum principle for singular optimal control of diffusions
Asymptotics in quasi-variational inequalities and ergodic control problems
Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
Optimal control for one-phase Stefan problem with random emission
Finite Element Methods for Parabolic Variational Inequalities with a Volterra Term
Impulse control of stochastic Navier-Stokes equations
Stochastic linear quadratic optimal control problems in infinite horizon
Generalized nonlinear mixed quasi-variational inequalities
Maximum principle for forward-backward doubly stochastic control systems and applications
Ergodic control in stochastic manufacturing systems with constant demand
Maximum principles for boundary-degenerate second order linear elliptic differential operators
Random generalized nonlinear variational inclusions for random fuzzy mappings
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Some results on pointwise second-order necessary conditions for stochastic optimal controls
On solutions of backward stochastic differential equations with jumps and applications
On the generalized implicit quasivariational inequalities
Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
Stochastic control theory and operational research
Existence Results for Nonproper Elliptic Equations Involving the Pucci Operator
Mann and Ishikawa type perturbed iterative algorithms for generalized nonlinear implicit quasi-variational inclusions
Approximation and optimality necessary conditions in relaxed stochastic control problems
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
Existence and uniqueness of solutions to a class of stochastic partial differential equations
A partially observed control problem for Markov chains
A stochastic maximum principle in mean-field optimal control problems for jump diffusions
Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
Concepts and methods for discrete and continuous time control under uncertainty
Pricing of perpetual American options in a model with partial information
Forward and backward mean-field stochastic partial differential equation and optimal control
Control of partially observed diffusions
Stochastic maximum principle for nonlinear optimal control problem of switching systems
The optimal control of diffusions
``Minimum toll control of diffusions
Divergence of neighbouring optimal state trajectories of a dynamic system
A new completely general class of variational inclusions with noncompact valued mappings
Approximate controllability of backward stochastic evolution equations in Hilbert spaces
A free boundary problem related to singular stochastic control: the parabolic case
The utility of manufacturing cooperatives
On the Bellman's principle of optimality
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
Backward stochastic differential equations coupled with value function and related optimal control problems
Sensitivity analysis for strongly nonlinear quasi-variational inclusions
Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
Stochastic equilibrium discounting
L_∞-error estimate for the numerical treatment of the obstacle problem by the penalty method
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
A general maximum principle for optimal control of forward-backward stochastic systems

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 Q4742671)