Probability methods for approximations in stochastic control and for elliptic equations
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Publication:799641
zbMATH Open0547.93076MaRDI QIDQ799641FDOQ799641
Publication date: 1977
Published in: Mathematics in Science and Engineering (Search for Journal in Brave)
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Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Diffusion processes (60J60) Stochastic approximation (62L20) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20) Second-order elliptic equations (35J15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)
Cited In (only showing first 100 items - show all)
- MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- A fast algorithm for the two dimensional HJB equation of stochastic control
- Explicit solutions for multivariate, discrete-time control problems under uncertainty
- Recursive estimation of a discrete-time Markov chain
- A stochastic control problem with delay arising in a pension fund model
- Approximations for functionals and optimal control problems on jump diffusion processes
- Convergence of the Critical Price In the Approximation of American Options
- American option prices in a Markov chain market model
- Efficient frontier of utility and CVaR
- Observer design for discrete and continuous non-linear stochastic systems
- Bellman inequalities in markov decision deterministic drift processes
- On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains
- Optimal quantization methods for nonlinear filtering with discrete-time observations
- Continuous time markov decision processes with interventions
- Simulation of diffusions with boundary conditions
- Discrete dynamic programming and viscosity solutions of the Bellman equation
- A survey of numerical methods for stochastic differential equations
- Numerical approximations for nonlinear stochastic systems with delays
- NUMERICAL ANALYSIS AND SIMULATION OF RESOURCE-EXPLORATION MODELS
- Concepts and methods for discrete and continuous time control under uncertainty
- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
- Semi-discretization of stochastic partial differential equations on rdby a Finite-element Technique A. Germani
- Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models
- Sticky Brownian Motion and Its Numerical Solution
- Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
- Discrete approximation of nonlinear filtering for stochastic delay equations
- Numerical method for impulse control of piecewise deterministic Markov processes
- Some Estimates for Finite Difference Approximations
- On the construction of \(\epsilon\)-optimal strategies in partially observed MDPs
- Computation of nash equilibrium pairs of a stochastic differential game
- Optimal stopping and strong approximation theorems†
- A stochastic pursuit-evasion differential game on a torus: A numerical solution
- A stochastic homicidal chauffeur pursuit-evasion differential game
- Numerical analysis of a free-boundary singular control problem in financial economics
- Error estimates for the binomial approximation of American put options
- Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
- On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Approximation of controlled solutions of Ito's equation by controlled Markov chains
- Approximations for optimal stopping of a piecewise-deterministic process
- Impulse control of piecewise-deterministic processes
- An approximation for the nonlinear filtering problem, with error bound†
- Filtering of the Markov jump process given the observations of multivariate point process
- Stochastic methods for Dirichlet problems
- The solving of boundary value problems by numerical integration of stochastic equations
- A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
- Time scale decomposition in production planning for unreliable flexible manufacturing systems
- Optimal impulse control problems for degenerate diffusions with jumps
- Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
- Computational aspects in applied stochastic control
- Nearly optimal control of queues in heavy traffic with heterogeneous servers
- Real (investment) options with multiple sources of rare events
- On the existence of weak solutions to stochastic differential equations with degenerate diffusion
- A Stroock Varadhan support theorem in non-linear filtering theory
- Numerical method for optimal stopping of piecewise deterministic Markov processes
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Optimal control of stochastic systems with interrupted observation
- On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications
- Combined filtering and parameter estimation: Approximations and robustness
- Approximation of the Fokker-Planck equation of the stochastic chemostat
- Optimal discounted control for a continuous time inventory model
- A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
- Policy iteration based feedback control
- Simulation of a space-time bounded diffusion
- Random approximation of Sobolev embeddings
- Monitoring cooperative equilibria in a stochastic differential game
- On diffusion approximation of controlled queueing processes
- On Benes' bang-bang control problem
- A branching particle system approximation for nonlinear stochastic filtering
- Dynamic routing in open queueing networks: Brownian models, cut constraints and resource pooling
- Numerical studies of the performance of an optimally controlled nonlinear stochastic oscillator
- Monte Carlo methods for backward equations in nonlinear filtering
- Approximate and limit results for nonlinear filters with wide bandwith observation noise
- Stochastic partial differential equations and filtering of diffusion processes
- A survey of numerical methods for nonlinear filtering problems
- An approximation scheme for the optimal control of diffusion processes
- Weak convergence of semimartingales and discretisation methods
- Pricing the American put option: A detailed convergence analysis for binomial models
- Optimal consumption and portfolio rules with durability and habit formation
- The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
- Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
- Markov chain approximations to filtering equations for reflecting diffusion processes.
- Optimal stochastic investment games under Markov regime switching market
- Optimal oil production and taxation under mean reverting jump diffusion models
- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
- \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
- Piecewise deterministic Markov process model for flexible manufacturing systems with preventive maintenance
- Approximations and computational methods for optimal stopping and stochastic impulsive control problems
- Utility indifference pricing and hedging for structured contracts in energy markets
- An effective numerical method for controlled routing in large trunk line networks
- Optimal stopping and control with two kinds of boundary conditions: application to dynamic routeing in networks
- Wong-Zakai approximations for stochastic differential equations
- Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey
- Controlled and optimally controlled multiplexing systems: A numerical exploration
- Continuous-time approximations for the nonlinear filtering problem
- Optimal controls that maximize the probability of hitting a moving target
- Numerical solution to a stochastic interception problem
- Optimal oil production and the world supply of oil
- Optimizing the stable behavior of parameter-dependent dynamical systems -- maximal domains of attraction, minimal absorption times
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