Une classe nouvelle de problèmes singuliers de contrôle stochastique

DOI10.1016/S0764-4442(00)01740-7zbMath0971.49015OpenAlexW1992412825MaRDI QIDQ4763174

Pierre-Louis Lions, Jean-Michel Lasry

Publication date: 30 October 2001

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)01740-7

zbMATH Keywords

dynamic programmingstochastic differential equationssingular stochastic control problems

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (6)

Towards a self-consistent theory of volatility ⋮ On the value function of weakly coercive problems in nonlinear stochastic control ⋮ Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values ⋮ On a class of singular stochastic control problems driven by Lévy noise ⋮ Monotone solutions for mean field games master equations: finite state space and optimal stopping ⋮ Large investor trading impacts on volatility

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