Stochastic Control in Continuous Time

Stochastic Control in Insurance - Probability and Its Applications ◽

10.1007/978-1-84800-003-2_2 ◽

2007 ◽

pp. 27-111

Author(s):

Hanspeter Schmidli

Keyword(s):

Stochastic Control ◽

Continuous Time

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Idempotent expansions for continuous-time stochastic control: compact control space

49th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2010.5717129 ◽

2010 ◽

Cited By ~ 5

Author(s):

Hidehiro Kaise ◽

William M. McEneaney

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Control Space ◽

Continuous Time Stochastic Control

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A new model of continuous-time Markov processes and impulse stochastic control

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5399775 ◽

2009 ◽

Cited By ~ 2

Author(s):

Xi-Ren Cao

Keyword(s):

Stochastic Control ◽

Markov Processes ◽

Continuous Time ◽

New Model

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Idempotent Expansions for Continuous-Time Stochastic Control

SIAM Journal on Control and Optimization ◽

10.1137/140971038 ◽

2016 ◽

Vol 54 (1) ◽

pp. 73-98 ◽

Cited By ~ 3

Author(s):

Hidehiro Kaise ◽

William M. McEneaney

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Continuous Time Stochastic Control

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Discrete Approximation of Continuous Time Stochastic Control Systems

SIAM Journal on Control and Optimization ◽

10.1137/0321002 ◽

1983 ◽

Vol 21 (1) ◽

pp. 17-40 ◽

Cited By ~ 6

Author(s):

Norbert Christopeit

Keyword(s):

Control Systems ◽

Stochastic Control ◽

Continuous Time ◽

Discrete Approximation ◽

Continuous Time Stochastic Control

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A stochastic control formulation of the continuous-time power system operation problem

2016 IEEE 16th International Conference on Environment and Electrical Engineering (EEEIC) ◽

10.1109/eeeic.2016.7555617 ◽

2016 ◽

Author(s):

Magnus Perninge ◽

Robert Eriksson

Keyword(s):

Power System ◽

Stochastic Control ◽

Continuous Time ◽

System Operation ◽

Power System Operation

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Numerical Methods for Stochastic Control Problems in Continuous Time

10.1007/978-1-4613-0007-6 ◽

2001 ◽

Cited By ~ 324

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Numerical Methods for Continuous-Time Stochastic Control Problems

Encyclopedia of Systems and Control ◽

10.1007/978-1-4471-5058-9_232 ◽

2015 ◽

pp. 918-923

Author(s):

George Yin

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Continuous Time Stochastic Control

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Numerical Methods for Stochastic Control Problems in Continuous Time

SIAM Journal on Control and Optimization ◽

10.1137/0328056 ◽

1990 ◽

Vol 28 (5) ◽

pp. 999-1048 ◽

Cited By ~ 157

Author(s):

Harold J. Kushner

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach

Applied Mathematics & Optimization ◽

10.1007/s00245-016-9337-5 ◽

2016 ◽

Vol 75 (3) ◽

pp. 429-470 ◽

Cited By ~ 4

Author(s):

Giorgio Ferrari ◽

Frank Riedel ◽

Jan-Henrik Steg

Keyword(s):

Public Good ◽

Stochastic Control ◽

Continuous Time ◽

Control Approach

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Solving higher-dimensional continuous-time stochastic control problems by value function regression

Journal of Economic Dynamics and Control ◽

10.1016/s0165-1889(98)00076-1 ◽

1999 ◽

Vol 23 (9-10) ◽

pp. 1329-1353 ◽

Cited By ~ 8

Author(s):

Michael Reiter

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Value Function ◽

Control Problems ◽

Stochastic Control Problems ◽

Higher Dimensional ◽

Continuous Time Stochastic Control

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