A stability theorem for stochastic differential equations and application to stochastic control problems

Stochastics ◽

10.1080/17442508408833323 ◽

1984 ◽

Vol 13 (4) ◽

pp. 257-279 ◽

Author(s):

Keigo Yamada

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Stochastic Control ◽

Stability Theorem ◽

Control Problems ◽

Stochastic Control Problems

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A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems

Stochastic Processes and their Applications ◽

10.1016/0304-4149(86)90036-0 ◽

1986 ◽

Vol 23 (2) ◽

pp. 199-220 ◽

Author(s):

Keigo Yamada

Keyword(s):

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Stochastic Control ◽

Stability Theorem ◽

Optimal Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Storage Processes

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Multi-valued stochastic differential equations driven byG-Brownian motion and related stochastic control problems

International Journal of Control ◽

10.1080/00207179.2016.1204560 ◽

2016 ◽

Vol 90 (5) ◽

pp. 1132-1154 ◽

Author(s):

Yong Ren ◽

Jun Wang ◽

Lanying Hu

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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Multivalued stochastic delay differential equations and related stochastic control problems

Quaestiones Mathematicae ◽

10.2989/16073606.2017.1315346 ◽

2017 ◽

Vol 40 (6) ◽

pp. 769-802

Author(s):

Bakarime Diomande ◽

Lucian Maticiuc

Keyword(s):

Differential Equations ◽

Stochastic Control ◽

Delay Differential Equations ◽

Control Problems ◽

Stochastic Delay Differential Equations ◽

Stochastic Control Problems ◽

Stochastic Delay ◽

Delay Differential

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Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

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A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Individual and mass behavior in large population forward–backward stochastic control problems: Centralized and Nash equilibrium solutions

Optimal Control Applications and Methods ◽

10.1002/oca.2727 ◽

2021 ◽

Author(s):

Shujun Wang ◽

Hua Xiao

Keyword(s):

Nash Equilibrium ◽

Stochastic Control ◽

Large Population ◽

Control Problems ◽

Equilibrium Solutions ◽

Stochastic Control Problems ◽

Mass Behavior ◽

Nash Equilibrium Solutions

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On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/0330053 ◽

1992 ◽

Vol 30 (4) ◽

pp. 975-999 ◽

Author(s):

Jin Ma

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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