Viscosity Solutions to First Order Path-Dependent Hjb Equations

被引：0

作者：

Zhou, Jianjun ^{[1
]}

机构：

[1] College of Science, Northwest A&F University, Yangling, Shaanxi,712100, China

来源：

arXiv | 2020年

关键词：

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Dynamic programming - Optimal control systems - Stability - Viscosity

引用

共 50 条

[31] Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations
Saporito, Yuri F.
Zhang, Zhaoyu
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2021, 12 (03): : 912 - 940
[32] FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT
Saporito, Yuri F.
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2018, 21 (03)
[33] About classical solutions of the path-dependent heat equation
Di Girolami, Cristina
Russo, Francesco
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2020, 28 (01) : 35 - 62
[34] Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Cosso, Andrea (andrea.cosso@unimi.it), 2021, arXiv
[35] Approximations of random periodic solutions for path-dependent stochastic differential equations with finite/infinite delay
Zhu, Min
Hu, Yanyan
MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2025, 48 (05) : 5416 - 5443
[36] VISCOSITY SOLUTIONS OF HJB EQUATIONS ARISING FROM THE VALUATION OF EUROPEAN PASSPORT OPTIONS
边保军
王杨
张寄洲
ActaMathematicaScientia, 2010, 30 (01) : 187 - 202
[37] ON THE VISCOSITY SOLUTIONS OF HYBRID HJB EQUATIONS ARISING IN OPTIMAL CONTROL OF LOSS NETWORKS
Ma, Zhongjing
Caines, Peter E.
Malhame, Roland P.
COMMUNICATIONS IN INFORMATION AND SYSTEMS, 2008, 8 (01) : 17 - 38
[38] VISCOSITY SOLUTIONS OF HJB EQUATIONS ARISING FROM THE VALUATION OF EUROPEAN PASSPORT OPTIONS
Bian Baojun
Wang Yang
Zhang Jizhou
ACTA MATHEMATICA SCIENTIA, 2010, 30 (01) : 187 - 202
[39] ON VISCOSITY SOLUTIONS OF PATH DEPENDENT PDES
Ekren, Ibrahim
Keller, Christian
Touzi, Nizar
Zhang, Jianfeng
ANNALS OF PROBABILITY, 2014, 42 (01): : 204 - 236
[40] VISCOSITY SOLUTIONS OF FULLY NONLINEAR ELLIPTIC PATH DEPENDENT PARTIAL DIFFERENTIAL EQUATIONS
Ren, Zhenjie
ANNALS OF APPLIED PROBABILITY, 2016, 26 (06): : 3381 - 3414

← 1 2 3 4 5 →