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On some recent aspects of stochastic control and their applications
Controlled diffusions dynamic programming maximum principle viscosity solutions
2009/5/18
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, ...
Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Absolutely continuous stochastic process mass transportation problem Salisburyfi problem
2009/4/29
We study the optimal control problem for Rd-valued absolutely continuous stochastic processes with given marginal distributions at every time. When $d=1$, we show the existence and the uniqueness of a...
A Controller And A Stopper Game With Degenerate Variance Control
stochasticgames optimalstopping degeneratediusions saddlepoint
2009/4/22
We consider a zero sum stochastic differential game which involves two players, emph{the controller} and emph{the stopper}. The stopper selects the stopping rule which halts the game. The controller c...