Stochastic recursive optimal control problem of reflected stochastic differential systems
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Cites work
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Adapted solution of a backward stochastic differential equation
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Backward stochastic differential equations and integral-partial differential equations
- Backward Stochastic Differential Equations in Finance
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- Fully nonlinear Neumann type boundary conditions for second-order elliptic and parabolic equations
- Generalized BSDEs and nonlinear Neumann boundary value problems
- Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized \varepsilon-Nash Equilibria
- Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Stochastic differential equations with reflecting boundary conditions
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic Differential Utility
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(10)- An application of reflected diffusions to the problem of choosing between hydro and thermal power generation
- Near-optimal control of stochastic recursive systems via viscosity solution
- A note on stochastic optimal control of reflected diffusions with jumps
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
- Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
- Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- On Reflecting Boundary Problem for Optimal Control
- Optimal feedback controllers for a stochastic differential equation with reflection
- Maximum principle for optimal control of fully coupled mean-field forward-backward stochastic differential equations with Teugels martingales under partial observation
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