stochastic perron’s method
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Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

SIAM Journal on Control and Optimization ◽

10.1137/140967052 ◽

2015 ◽

Vol 53 (1) ◽

pp. 91-113 ◽

Cited By ~ 11

Author(s):

Erhan Bayraktar ◽

Yuchong Zhang

Keyword(s):

Transaction Costs ◽

Stochastic Perron’S Method ◽

Ruin Problem

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Verification by Stochastic Perron's Method in stochastic exit time control problems

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2014.04.062 ◽

2014 ◽

Vol 419 (1) ◽

pp. 433-446 ◽

Cited By ~ 10

Author(s):

Dmitry B. Rokhlin

Keyword(s):

Exit Time ◽

Control Problems ◽

Time Control ◽

Stochastic Exit ◽

Stochastic Perron’S Method

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Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games

Proceedings of the American Mathematical Society ◽

10.1090/s0002-9939-2014-11860-0 ◽

2014 ◽

Vol 142 (4) ◽

pp. 1399-1412 ◽

Cited By ~ 23

Author(s):

Erhan Bayraktar ◽

Mihai Sîrbu

Keyword(s):

Obstacle Problems ◽

Dynkin Games ◽

Stochastic Perron’S Method

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Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games

SIAM Journal on Control and Optimization ◽

10.1137/130929965 ◽

2014 ◽

Vol 52 (3) ◽

pp. 1693-1711 ◽

Cited By ~ 18

Author(s):

Mihai Sîrbu

Keyword(s):

Differential Games ◽

Zero Sum ◽

Stochastic Perron’S Method

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Stochastic Perron's method for optimal control problems with state constraints

Electronic Communications in Probability ◽

10.1214/ecp.v19-3616 ◽

2014 ◽

Vol 19 (0) ◽

Cited By ~ 3

Author(s):

Dmitry Rokhlin

Keyword(s):

Optimal Control ◽

State Constraints ◽

Optimal Control Problems ◽

Control Problems ◽

Stochastic Perron’S Method

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Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.2430858 ◽

2014 ◽

Author(s):

Erhan Bayraktar ◽

Yuchong Zhang

Keyword(s):

Transaction Costs ◽

Stochastic Perron’S Method ◽

Ruin Problem

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Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

SIAM Journal on Control and Optimization ◽

10.1137/12090352x ◽

2013 ◽

Vol 51 (6) ◽

pp. 4274-4294 ◽

Cited By ~ 29

Author(s):

Erhan Bayraktar ◽

Mihai Sîrbu

Keyword(s):

Bellman Equations ◽

Hamilton Jacobi Bellman ◽

Stochastic Perron’S Method

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Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case

Proceedings of the American Mathematical Society ◽

10.1090/s0002-9939-2012-11336-x ◽

2012 ◽

Vol 140 (10) ◽

pp. 3645-3654 ◽

Cited By ~ 37

Author(s):

Erhan Bayraktar ◽

Mihai Sîrbu

Keyword(s):

Linear Case ◽

Stochastic Perron’S Method

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