Controlled markov processes, viscosity solutions and applications to mathematical finance

Lecture Notes in Mathematics - Viscosity Solutions and Applications ◽

10.1007/bfb0094297 ◽

1997 ◽

pp. 134-185 ◽

Cited By ~ 17

Author(s):

Halil Mete Soner

Keyword(s):

Markov Processes ◽

Viscosity Solutions ◽

Mathematical Finance ◽

Controlled Markov Processes

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Controlled Markov processes and mathematical finance

Nonlinear Analysis, Differential Equations and Control ◽

10.1007/978-94-011-4560-2_7 ◽

1999 ◽

pp. 407-446 ◽

Cited By ~ 9

Author(s):

Wendell H. Fleming

Keyword(s):

Markov Processes ◽

Mathematical Finance ◽

Controlled Markov Processes

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Controlled markov processes and viscosity solutions

Stochastics and Stochastics Reports ◽

10.1080/17442509408833914 ◽

1994 ◽

Vol 49 (1-2) ◽

pp. 129-137

Author(s):

M. R. James

Keyword(s):

Markov Processes ◽

Viscosity Solutions ◽

Controlled Markov Processes

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Book Review: Controlled Markov processes and viscosity solutions

Bulletin of the American Mathematical Society ◽

10.1090/s0273-0979-1994-00480-x ◽

1994 ◽

Vol 31 (1) ◽

pp. 75-86

Author(s):

M. H. A. Davis

Keyword(s):

Markov Processes ◽

Viscosity Solutions ◽

Controlled Markov Processes

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Controlled Markov Processes and Viscosity Solutions

10.1007/0-387-31071-1 ◽

2006 ◽

Cited By ~ 50

Keyword(s):

Markov Processes ◽

Viscosity Solutions ◽

Controlled Markov Processes

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Controlled Markov Processes and Viscosity Solutions (Wendell H. Fleeting and H. Mete Soner)

SIAM Review ◽

10.1137/1036035 ◽

1994 ◽

Vol 36 (1) ◽

pp. 133-134

Author(s):

Jose Luis Menaldi

Keyword(s):

Markov Processes ◽

Viscosity Solutions ◽

Controlled Markov Processes

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Optimal Control of Jump-Markov Processes and Viscosity Solutions

The IMA Volumes in Mathematics and Its Applications - Stochastic Differential Systems, Stochastic Control Theory and Applications ◽

10.1007/978-1-4613-8762-6_29 ◽

1988 ◽

pp. 501-511 ◽

Cited By ~ 27

Author(s):

Halil Mete Soner

Keyword(s):

Optimal Control ◽

Markov Processes ◽

Viscosity Solutions ◽

Jump Markov Processes

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Note on nonlinear semigroups and free boundary problem for controlled Markov processes

Banach Center Publications ◽

10.4064/-14-1-423-438 ◽

1985 ◽

Vol 14 (1) ◽

pp. 423-438

Author(s):

Makiko Nisio

Keyword(s):

Free Boundary ◽

Boundary Problem ◽

Markov Processes ◽

Free Boundary Problem ◽

Nonlinear Semigroups ◽

Controlled Markov Processes

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Controlled Markov Processes: Time-Discretization (N. M. Van Dijk)

SIAM Review ◽

10.1137/1029069 ◽

1987 ◽

Vol 29 (2) ◽

pp. 333-334

Author(s):

Daniel Ocone

Keyword(s):

Markov Processes ◽

Time Discretization ◽

Controlled Markov Processes

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Controlled Markov Processes With Safety State Constraints

IEEE Transactions on Automatic Control ◽

10.1109/tac.2018.2849556 ◽

2019 ◽

Vol 64 (3) ◽

pp. 1003-1018 ◽

Cited By ~ 3

Author(s):

Mahmoud El Chamie ◽

Yue Yu ◽

Behcet Acikmese ◽

Masahiro Ono

Keyword(s):

Markov Processes ◽

State Constraints ◽

Controlled Markov Processes

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On the Theory of Controlled Markov Processes

Theory of Probability and Its Applications ◽

10.1137/1122005 ◽

1977 ◽

Vol 22 (1) ◽

pp. 53-69 ◽

Cited By ~ 2

Author(s):

A. Barbarosie

Keyword(s):

Markov Processes ◽

Controlled Markov Processes

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