Pathwise Stochastic Control Problems and Stochastic HJB Equations
From MaRDI portal
Publication:5426921
DOI10.1137/S036301290444335XzbMath1140.60031MaRDI QIDQ5426921
Publication date: 16 November 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s036301290444335x
93E99: Stochastic systems and control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
90C39: Dynamic programming
34F05: Ordinary differential equations and systems with randomness
Related Items
Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations, Pathwise Solutions for Fully Nonlinear First- and Second-Order Partial Differential Equations with Multiplicative Rough Time Dependence, Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions, Parameter Uncertainty in the Kalman--Bucy Filter, An efficient Monte Carlo scheme for Zakai equations, Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations, Robust filtering: correlated noise and multidimensional observation, On the splitting-up method for rough (partial) differential equations, A (rough) pathwise approach to a class of non-linear stochastic partial differential equations, Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations, What if we knew what the future brings? Optimal investment for a frontrunner with price impact, Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions, Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions, Stochastic control with rough paths, Probabilistic interpretation for solutions of fully nonlinear stochastic pdes, Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation, Pathwise stochastic control with applications to robust filtering, A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs