Pages that link to "Item:Q2248052"
From MaRDI portal
The following pages link to A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization (Q2248052):
Displaying 28 items.
- Backward SDE representation for stochastic control problems with nondominated controlled intensity (Q292927) (← links)
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach (Q525049) (← links)
- Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes (Q529424) (← links)
- A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach (Q1661565) (← links)
- Automatic model training under restrictive time constraints (Q2108929) (← links)
- Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
- A bias-corrected least-squares Monte Carlo for solving multi-period utility models (Q2157230) (← links)
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane (Q2232766) (← links)
- ``Regression anytime'' with brute-force SVD truncation (Q2240846) (← links)
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs (Q2309600) (← links)
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (Q2354152) (← links)
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (Q2354898) (← links)
- Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853) (← links)
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate (Q2404547) (← links)
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games (Q2512848) (← links)
- Designing higher value roads to preserve species at risk by optimally controlling traffic flow (Q2678614) (← links)
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function (Q3177920) (← links)
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems (Q4967867) (← links)
- On the investment strategies in occupational pension plans (Q5079380) (← links)
- Backward SDEs and infinite horizon stochastic optimal control (Q5107935) (← links)
- Algorithmic trading in a microstructural limit order book model (Q5139231) (← links)
- Two-phase selective decentralization to improve reinforcement learning systems with MDP (Q5145441) (← links)
- A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging (Q5162848) (← links)
- Pricing bounds and bang-bang analysis of the Polaris variable annuities (Q5215446) (← links)
- Pathwise Dynamic Programming (Q5219679) (← links)
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
- Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)
