Numerical Methods for Stochastic Control Problems in Continuous Time

Keywords

Mathematics, Mathematical optimization, Convergence (economics), Markov chain, Jump diffusion

References

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• Brownian motion and stochastic flow systemsJ. Michael Harrison — 1986
• Markov Chains with Stationary Transition ProbabilitiesKai Lai Chung — 1960
• Markov ProcessesS. N. Ethier, Thomas G. Kurtz — 1986

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• Methods for Reachability-based Hybrid Controller DesignJerry Ding — 2012
• Essays in Financial and Insurance Mathematics.HU Xueying — 2012
• Optimal Execution Strategy: Price Impact and Transaction CostJunca Pelaez, José Maurício — 2011
• Optimal default boundary in discrete time modelsAgata Altieri, Tiziano Vargiolu — 2002
• Stochastic Optimal Control of Nonlinear Systems via Short-Time Gaussian Approximation and Cell MappingLuis G. Crespo, Jian‐Qiao Sun — 2002
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• Regime-switching risk in the Term Structure of Interest RatesShu Wu, Yong Zeng — 2003
• Eikonal Equations: New Two-Scale Algorithms And Error AnalysisAdam Chacon — 2014
• Access pricing under uncertainty: Margin squeezes, real options, and the cost of capital ?Philipp N. Baecker, Gunnar Grass, Ulrich Hommel — 2007
• Heterogeneous discounting. Time consistency in investment and insurance modelsAlbert De Paz Monfort — 2012
• An effective gradient projection method for stochastic optimal controlNing Du, Jingtao Shi, Wenbin Liu — 2013
• Markov chain approximation techniques for a class of nonlinear control problemsGeorge Yin, Q. Zhang, Miao Song — 2002
• Discrete Brand Choice Models: Analysis and ApplicationsLiyu Zhu — 2008
• Motor proteins and non-Gaussian areal data: Advances in stochastic modeling and computationJohn Hughes — 2011
• Stochastic Processing NetworksRuth Williams — 2016
• Population games with networking applicationsHamidou Tembiné — 2009
• A Bayesian Dynamic Programming approach tooptimal maintenance combined with burn‐inE. Nicolato, Wolfgang J. Runggaldier — 1999

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