scholarly journals Discrete-time probabilistic approximation of path-dependent stochastic control problems

2014 ◽  
Vol 24 (5) ◽  
pp. 1803-1834 ◽  
Author(s):  
Xiaolu Tan
Keyword(s):  
Stochastic Control ◽  
Discrete Time ◽  
Control Problems ◽  
Stochastic Control Problems ◽  
Probabilistic Approximation ◽  
Path Dependent

scholarly journals On a Class of Path-Dependent Singular Stochastic Control Problems

2018 ◽  
Vol 56 (5) ◽  
pp. 3260-3295 ◽  
Author(s):  
Romuald Elie ◽  
Ludovic Moreau ◽  
Dylan Possamaï
Keyword(s):  
Stochastic Control ◽  
Control Problems ◽  
Singular Stochastic Control ◽  
Stochastic Control Problems ◽  
Path Dependent

scholarly journals Convexity and convex approximations of discrete-time stochastic control problems with constraints

Automatica ◽  
2011 ◽  
Vol 47 (9) ◽  
pp. 2082-2087 ◽  
Author(s):  
Eugenio Cinquemani ◽  
Mayank Agarwal ◽  
Debasish Chatterjee ◽  
John Lygeros
Keyword(s):  
Stochastic Control ◽  
Discrete Time ◽  
Control Problems ◽  
Stochastic Control Problems ◽  
Convex Approximations
Sign in / Sign up

Export Citation Format

Share Document