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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是91-100 订阅
排序:
STOCHASTIC REPRESENTATIONS FOR SOLUTIONS TO PARABOLIC DIRICHLET PROBLEMS FOR NONLOCAL BELLMAN EQUATIONS
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ANNALS OF APPLIED PROBABILITY 2019年 第6期29卷 3271-3310页
作者: Gong, Ruoting Mou, Chenchen Swiech, Andrzej IIT Dept Appl Math Chicago IL 60616 USA Univ Calif Los Angeles Dept Math Los Angeles CA 90095 USA Georgia Inst Technol Sch Math Atlanta GA 30332 USA
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton- Jacobi-Bellman integro-partial differential equation in a bounded domain.... 详细信息
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The Robust Superreplication Problem: A dynamic Approach
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SIAM JOURNAL ON FINANCIAL MATHEMATICS 2019年 第4期10卷 907-941页
作者: Carassus, Laurence Obloj, Jan Wiesel, Johannes Leonard de Vinci Pole Univ Res Ctr F-92916 Paris France Univ Reims LMR FRE 2011 Reims France Univ Oxford Math Inst Oxford OX1 3JP England Univ Oxford St Johns Coll Oxford OX1 3JP England
In the frictionless discrete time financial market of Bouchard and Nutz [Ann. Appl. Probab., 25 (2015), pp. 823{859] we consider a trader who is required to hedge xi in a risk-conservative way relative to a family of ... 详细信息
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ON THE TIME DISCRETIZATION OF STOCHASTIC OPTIMAL CONTROL PROBLEMS: THE dynamic programming APPROACH
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2019年 第1期25卷 63-63页
作者: Bonnans, Joseph Frederic Gianatti, Justina Silva, Francisco J. Univ Paris Saclay CNRS Ctr Math Appl Ecole PolytechINRIA Saclay F-91128 Palaiseau France UNR CONICET CIFASIS Ctr Int Franco Argentino Ciencias Informa S2000EZP Rosario Argentina Univ Limoges Inst Rech XLIM DMI Fac Sci & Tech CNRSUMR 7252 F-87060 Limoges France
In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time proble... 详细信息
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GAMES FOR PUCCI'S MAXIMAL OPERATORS
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JOURNAL OF dynamicS AND GAMES 2019年 第4期6卷 277-289页
作者: Blanc, Pablo Manfredi, Juan J. Rossi, Julio D. FCEyN UBA Dept Matemat Ciudad UnivPab 1 RA-1428 Buenos Aires DF Argentina Univ Pittsburgh Dept Math Pittsburgh PA 15260 USA
In this paper we introduce a game whose value functions converge (as a parameter that measures the size of the steps goes to zero) uniformly to solutions to the second order Pucci maximal operators.
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Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
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JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 2019年 第2期183卷 422-439页
作者: Li, Hanwu Wang, Falei Shandong Univ Jinan Shandong Peoples R China Bielefeld Univ Bielefeld Germany
In this paper, we consider a stochastic optimal control problem, in which the cost function is defined through a reflected backward stochastic differential equation in sublinear expectation framework. Besides, we stud... 详细信息
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Asymptotic Holder regularity for the ellipsoid process
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2020年 第1期26卷 112-112页
作者: Arroyo, Angel Parviainen, Mikko Univ Genoa Dept Math Via Dodecaneso 35 I-16146 Genoa Italy Univ Jyvaskyla Dept Math & Stat POB 35 Jyvaskyla 40014 Finland
We obtain an asymptotic Holder estimate for functions satisfying a dynamic programming principle arising from a so-called ellipsoid process. By the ellipsoid process we mean a generalization of the random walk where t... 详细信息
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Two-player zero-sum stochastic differential games with regime switching
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AUTOMATICA 2020年 第0期114卷 108819-000页
作者: Lv, Siyu Southeast Univ Sch Math Nanjing 211189 Peoples R China
This paper is concerned with the two-player zero-sum stochastic differential game in a regime switching model with an infinite horizon. The state of the system is characterized by a number of diffusions coupled by a c... 详细信息
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The robust pricing-hedging duality for American options in discrete time financial markets
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MATHEMATICAL FINANCE 2019年 第3期29卷 861-897页
作者: Aksamit, Anna Deng, Shuoqing Obloj, Jan Tan, Xiaolu Univ Sydney Sch Math & Stat Sydney NSW Australia Univ Oxford Oxford England PSL Univ Univ Paris Dauphine CNRS UMR 7534CEREMADE Pl Marechal De Lattre De Tassigny F-75775 Paris 16 France
We investigate the pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, for example, a family of European options, only statically. In the... 详细信息
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The Corporate Optimal Portfolio and Consumption Choice Problem in Trade Project with Borrowing Rate Higher than Deposit Rate  38
The Corporate Optimal Portfolio and Consumption Choice Probl...
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38th Chinese Control Conference (CCC)
作者: Zhang, Panpan Shandong Univ Sch Control Sci & Engn Jinan 250061 Peoples R China
This paper is concerned with a kind of optimal portfolio and consumption choice problem, where an investor can invest his wealth in a trade project and foreign exchange deposit. The trade project earns profit by buyin... 详细信息
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Connection between the Adjoint Variables and Value Function for Controlled Fully Coupled FBSDEs: The Global Case  34
Connection between the Adjoint Variables and Value Function ...
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34th Youth Academic Annual Conference of Chinese-Association-of-Automation (YAC)
作者: Shi, Jingtao Shandong Univ Sch Math Jinan Peoples R China
This paper deals with an optimal control problem of fully coupled forward-backward stochastic differential equations (FBSDEs), where the diffusion term does not contain the variable z and the control domain is not nec... 详细信息
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