Pages that link to "Item:Q424646"

The following pages link to Optimal stochastic control, stochastic target problems, and backward SDE. (Q424646):

Displaying 50 items.

• Facelifting in utility maximization (Q261918) (← links)
• The stochastic reach-avoid problem and set characterization for diffusions (Q290823) (← links)
• Stochastic Perron for stochastic target games (Q292921) (← links)
• Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator (Q311996) (← links)
• Regular finite fuel stochastic control problems with exit time (Q328524) (← links)
• A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities (Q475326) (← links)
• Liquidity risk and optimal dividend/investment strategies (Q506385) (← links)
• Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs (Q748315) (← links)
• On \(L^p\)-viscosity solutions of bilateral obstacle problems with unbounded ingredients (Q785325) (← links)
• The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model (Q824886) (← links)
• Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596) (← links)
• A viscosity solution method for optimal stopping problems with regime switching (Q829599) (← links)
• Zubov's method for controlled diffusions with state constraints (Q889855) (← links)
• Central limit theorem under uncertain linear transformations (Q900948) (← links)
• Regularity properties in a state-constrained expected utility maximization problem (Q1616834) (← links)
• Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
• Utility maximisation in a factor model with constant and proportional transaction costs (Q1711719) (← links)
• Nesting Monte Carlo for high-dimensional non-linear PDEs (Q1713854) (← links)
• Optimal learning before choice (Q1729685) (← links)
• The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (Q1729695) (← links)
• Optimal control of branching diffusion processes: a finite horizon problem (Q1751960) (← links)
• Two approaches to stochastic optimal control problems with a final-time expectation constraint (Q1754665) (← links)
• Semimartingales on rays, Walsh diffusions, and related problems of control and stopping (Q2000135) (← links)
• Analysis of an optimal stopping problem arising from hedge fund investing (Q2009296) (← links)
• Optimal dividends in the dual model under transaction costs (Q2015482) (← links)
• Equilibrium asset pricing with transaction costs (Q2022762) (← links)
• Phase transitions arising in stochastic ergodic control associated with viscous Hamilton-Jacobi equations with bounded inward drift (Q2022968) (← links)
• A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems (Q2066980) (← links)
• Applications of Markov chain approximation methods to optimal control problems in economics (Q2097976) (← links)
• Parameter identification for portfolio optimization with a slow stochastic factor (Q2101109) (← links)
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations (Q2107414) (← links)
• DeLISA: deep learning based iteration scheme approximation for solving PDEs (Q2134800) (← links)
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate (Q2141948) (← links)
• Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics (Q2161812) (← links)
• A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory (Q2171069) (← links)
• Probabilistic error analysis for some approximation schemes to optimal control problems (Q2173064) (← links)
• Volatility uncertainty quantification in a stochastic control problem applied to energy (Q2176387) (← links)
• On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (Q2190063) (← links)
• A type of globally solvable BSDEs with triangularly quadratic generators (Q2201488) (← links)
• Existence and uniqueness of mild solution of time-fractional semilinear differential equations with a nonlocal final condition (Q2203222) (← links)
• Recursively feasible stochastic model predictive control using indirect feedback (Q2207230) (← links)
• An efficient numerical algorithm for solving data driven feedback control problems (Q2219806) (← links)
• Linear backward stochastic differential equations with Gaussian Volterra processes (Q2240074) (← links)
• Pairs trading with illiquidity and position limits (Q2244254) (← links)
• Verification by stochastic Perron's method in stochastic exit time control problems (Q2252480) (← links)
• Risk-sensitive mean field games via the stochastic maximum principle (Q2292119) (← links)
• Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations (Q2299580) (← links)
• Machine learning for semi linear PDEs (Q2316193) (← links)
• On the controller-stopper problems with controlled jumps (Q2318101) (← links)
• PDE methods for optimal Skorokhod embeddings (Q2421278) (← links)