The Optimal Control of a Stochastic System
From MaRDI portal
Cited in
(20)- On Benes' bang-bang control problem
- The probabilistic structure of controlled diffusion processes
- On the optimal control of stochastic systems with an exponential-of- integral performance index
- Control of partially observed diffusions
- Ambiguity in dynamic contracts
- A stochastic differential game for optimal investment of an insurer with regime switching
- Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
- Difference methods for stochastic differential equations with discontinuous coefficients
- Separation principle for impulse control with partial information
- Optimal locally absolutely continuous change of measure. finite set of decisions. part i
- Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
- The variational principle and stochastic optimal control
- Optimal control of a jump process
- On “predicted miss” stochastic control problems
- A universal dynamic program and refined existence results for decentralized stochastic control
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
- On the existence of optimal partially observed controls
- Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale
- Optimal controls for diffusion in R^ d- a min-max max-min formula for the minimal cost growth rate
- Martingale approach to stochastic differential games of control and stopping
This page was built for publication: The Optimal Control of a Stochastic System
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4132088)