Pages that link to "Item:Q2492615"
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The following pages link to Controlled Markov processes and viscosity solutions (Q2492615):
Displaying 50 items.
- Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems (Q416040) (← links)
- An ENO-based method for second-order equations and application to the control of dike levels (Q421325) (← links)
- Optimal stochastic control, stochastic target problems, and backward SDE. (Q424646) (← links)
- Optimal control with random parameters: a multiscale approach (Q431771) (← links)
- Consumption utility-based pricing and timing of the option to invest with partial information (Q431904) (← links)
- Backward stochastic differential equations with rough drivers (Q439882) (← links)
- Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations (Q442565) (← links)
- Subsolutions that are close in the uniform norm are close in the Sobolev norm as well (Q442572) (← links)
- Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
- An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients (Q458360) (← links)
- A consumption-investment problem with heterogeneous discounting (Q459384) (← links)
- Optimal portfolios in commodity futures markets (Q468419) (← links)
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- Optimal investment and excess of loss reinsurance with short-selling constraint (Q475706) (← links)
- A reduced complexity MIN-plus solution method to the optimal control of closed quantum systems (Q481002) (← links)
- Ruin probabilities under general investments and heavy-tailed claims (Q483712) (← links)
- Nash points for nonzero-sum stochastic differential games with separate Hamiltonians (Q483903) (← links)
- Optimal proportional reinsurance with common shock dependence (Q495436) (← links)
- Nonequilibrium Markov processes conditioned on large deviations (Q496165) (← links)
- Generalized semiconcavity of the value function of a jump diffusion optimal control problem (Q497405) (← links)
- A doubly nonlinear evolution for the optimal Poincaré inequality (Q502253) (← links)
- Dynamic pricing and periodic ordering for a stochastic inventory system with deteriorating items (Q503167) (← links)
- Explicit formula for the optimal government debt ceiling (Q513084) (← links)
- Suboptimal feedback control of PDEs by solving HJB equations on adaptive sparse grids (Q514434) (← links)
- Stochastic homogenization of viscous superquadratic Hamilton-Jacobi equations in dynamic random environment (Q516000) (← links)
- Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions (Q517975) (← links)
- Characterization of stochastic control with optimal stopping in a Sobolev space (Q522802) (← links)
- Extremal shift rule for continuous-time zero-sum Markov games (Q523430) (← links)
- A numerical approach to optimal dividend policies with capital injections and transaction costs (Q523786) (← links)
- Optimality of \((s,S)\) policies with nonlinear processes (Q523979) (← links)
- An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint (Q526938) (← links)
- Entropy solution theory for fractional degenerate convection-diffusion equations (Q540345) (← links)
- On the splitting-up method for rough (partial) differential equations (Q543921) (← links)
- Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide (Q545158) (← links)
- Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic (Q607269) (← links)
- Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem (Q607778) (← links)
- On a PDE arising in one-dimensional stochastic control problems (Q607894) (← links)
- An optimal portfolio model with stochastic volatility and stochastic interest rate (Q615916) (← links)
- Vanishing moment method and moment solutions for fully nonlinear second order partial differential equations (Q618430) (← links)
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations (Q631661) (← links)
- Optimal financing and dividend control in the dual model (Q636479) (← links)
- Optimal selling rule in a regime switching Lévy market (Q638071) (← links)
- Parabolic variational inequality with parameter and gradient constraints (Q641654) (← links)
- Optimal control of the risk process in a regime-switching environment (Q642895) (← links)
- Dynamic programming and viscosity solutions for the optimal control of quantum spin systems (Q645578) (← links)
- Analysis of Galerkin methods for the fully nonlinear Monge-Ampère equation (Q649959) (← links)
- Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment (Q654513) (← links)
- Non-constant discounting and differential games with random time horizon (Q665187) (← links)
- Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints (Q670237) (← links)
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
