Volume 18, Number 4, October-December 2012
|Page(s)||1005 - 1026|
|Published online||16 January 2012|
- M. Chang, T. Pang and M. Pemy, Optimal control of stochastic functional differential equations with a bounded memory. Stochastic An International J. Probability & Stochastic Process 80 (2008) 69–96. [CrossRef] [Google Scholar]
- D. Duffie and L.G. Epstein, Stochastic differential utility. Economicrica 60 (1992) 353–394. [CrossRef] [MathSciNet] [Google Scholar]
- N. El Karoui, S. Peng and M.C. Quenez, Backward stochastic differential equation in finance. Math. Finance 7 (1997) 1–71. [CrossRef] [MathSciNet] [Google Scholar]
- M. Fuhrman and G. Tessitore, Nonlinear Kolmogorov equation in infinite dimensional spaces : the backward stochastic differential equations approach and applications to optimal control. Ann. Probab. 30 (2002) 1397–1465. [CrossRef] [MathSciNet] [Google Scholar]
- M. Fuhrman, F. Masiero and G. Tessitore, Stochastic equations with delay : optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations. SIAM J. Control Optim. 48 (2010) 4624–4651. [CrossRef] [MathSciNet] [Google Scholar]
- B. Larssen, Dynamic programming in stochastic control of systems with delay. Stoch. Stoch. Rep. 74 (2002) 651–673. [CrossRef] [MathSciNet] [Google Scholar]
- B. Larssen and N.H. Risebro, When are HJB equations for control problems with stochastic delay equations finite dimensional? Dr. Scient. thesis, University of Oslo (2003). [Google Scholar]
- S.E.A. Mohammed, Stochastic Functional Differential Equations, Pitman (1984). [Google Scholar]
- S.E.A. Mohammed, Stochastic Differential Equations with Memory : Theory, Examples and Applications, Stochastic Analysis and Related Topics 6. The Geido Workshop (1996); Progress in Probability. Birkhauser (1998). [Google Scholar]
- S. Peng, A generalized dynamic programming principle and Hamilton-Jacobi-Bellmen equation. Stoch. Stoch. Rep. 38 (1992) 119–134. [CrossRef] [Google Scholar]
- S. Peng, Backward stochastic differential equations-stochastic optimization theory and viscosity solution of HJB equations. Topics on Stochastic Analysis (in Chinese), edited by J. Yan, S. Peng, S. Fang and L. Wu. Science Press, Beijing (1997) 85–138. [Google Scholar]
- Z. Wu and Z. Yu, Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation. SIAM J. Control Optim. 47 (2008) 2616–2641. [CrossRef] [MathSciNet] [Google Scholar]
- J. Yong and X.Y. Zhou, Stochastic Controls. Springer-Verlag (1999). [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.