Pages that link to "Item:Q4785642"

The following pages link to Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions (Q4785642):

Displaying 46 items.

• The stochastic reach-avoid problem and set characterization for diffusions (Q290823) (← links)
• Stochastic Perron for stochastic target games (Q292921) (← links)
• Stochastic Perron for stochastic target problems (Q328468) (← links)
• Multiple \(G\)-Itō integral in \(G\)-expectation space (Q373435) (← links)
• Optimal control versus stochastic target problems: an equivalence result (Q414574) (← links)
• Option hedging for small investors under liquidity costs (Q650751) (← links)
• A converse Lyapunov theorem for almost sure stabilizability (Q864477) (← links)
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746) (← links)
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
• A verification theorem for optimal stopping problems with expectation constraints (Q1734287) (← links)
• Dynamic programming for stochastic target problems and geometric flows (Q1849473) (← links)
• Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) (← links)
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827) (← links)
• Forward backward SDEs in weak formulation (Q2001569) (← links)
• A framework for the dynamic programming principle and martingale-generated control correspondences (Q2041004) (← links)
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models (Q2110493) (← links)
• On dynamic programming principle for stochastic control under expectation constraints (Q2188945) (← links)
• Quenched mass transport of particles toward a target (Q2194119) (← links)
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations (Q2203039) (← links)
• The dynamic programming equation for a stochastic volatility optimal control problem (Q2280817) (← links)
• On the controller-stopper problems with controlled jumps (Q2318101) (← links)
• BSDEs with weak terminal condition (Q2338910) (← links)
• Dynamic programming and error estimates for stochastic control problems with maximum cost (Q2340992) (← links)
• Stochastic target games with controlled loss (Q2454400) (← links)
• Stochastic control and compatible subsets of constraints (Q2484956) (← links)
• Small time path behavior of double stochastic integrals and applications to stochastic control (Q2496497) (← links)
• Stochastic targets with mixed diffusion processes and viscosity solutions. (Q2574513) (← links)
• The multi-dimensional super-replication problem under gamma constraints (Q2575852) (← links)
• Stochastic target games and dynamic programming via regularized viscosity solutions (Q2800366) (← links)
• A backward dual representation for the quantile hedging of Bermudan options (Q2808185) (← links)
• State-constrained stochastic optimal control problems via reachability approach (Q2822794) (← links)
• Hedging costs for two large investors (Q3017913) (← links)
• Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
• Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints (Q3382780) (← links)
• A stochastic target formulation for optimal switching problems in finite horizon (Q3630058) (← links)
• PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT (Q4555858) (← links)
• A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS (Q4796719) (← links)
• Partial hedging and cash requirements in discrete time (Q5001180) (← links)
• Continuity of the value function for deterministic optimal impulse control with terminal state constraint (Q5084587) (← links)
• Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints (Q5241902) (← links)
• A stochastic target problem for branching diffusion processes (Q6123265) (← links)
• Optimal stopping with expectation constraints (Q6126790) (← links)
• A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection (Q6164094) (← links)
• A multi-marginal c-convex duality theorem for martingale optimal transport (Q6569444) (← links)
• Stochastic control/stopping problem with expectation constraints (Q6615478) (← links)
• Time-inconsistent contract theory (Q6641080) (← links)