Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
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Cites work
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- Multidimensional diffusion processes.
- On degenerate elliptic-parabolic operators of second order and their associated diffusions
- Perron's method for Hamilton-Jacobi equations
- User’s guide to viscosity solutions of second order partial differential equations
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(39)- Moral hazard under ambiguity
- Utility maximisation in a factor model with constant and proportional transaction costs
- Stochastic control for a class of nonlinear kernels and applications
- A framework for the dynamic programming principle and martingale-generated control correspondences
- On dynamic programming principle for stochastic control under expectation constraints
- Lifetime ruin under high-water mark fees and drift uncertainty
- Verification by stochastic Perron's method in stochastic exit time control problems
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
- On the controller-stopper problems with controlled jumps
- On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
- On viscosity solutions of path dependent PDEs
- Zero-sum path-dependent stochastic differential games in weak formulation
- Distribution of the time to explosion for one-dimensional diffusions
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Robust feedback switching control: dynamic programming and viscosity solutions
- Stochastic Perron for stochastic target games
- A general verification result for stochastic impulse control problems
- Stochastic Perron for stochastic target problems
- Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
- Perron's method for viscosity solutions of semilinear path dependent PDEs
- Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators
- Martingale optimal transport with stopping
- The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case
- Optimal equilibria for multidimensional time-inconsistent stopping problems
- Optimal entry and consumption under habit formation
- The stochastic solution to a Cauchy problem for degenerate parabolic equations
- Two-player zero-sum stochastic differential games with random horizon
- Comparison of viscosity solutions of semilinear path-dependent PDEs
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
- Contract theory in a VUCA world
- Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
- Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
- Asymptotic Perron's method and simple Markov strategies in stochastic games and control
- Convergence of optimal investment problems in the vanishing fixed cost limit
- Optimal investment for retail investors
- Non-Markovian impulse control under nonlinear expectation
- Optimal adaptive control with separable drift uncertainty
- Two-player zero-sum stochastic differential games with Markov-switching jump-diffusion dynamics
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
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