scientific article; zbMATH DE number 3797647

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

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