FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS

QR Code

FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS

This paper studies the first order backward stochastic partial differential equations suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogues of Hamilton--Jacobi--Bellman equations and allow one to construct the value function for stochastic...

Full description

Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Society for Industrial and Applied Mathematics 2017
Online Access:	http://hdl.handle.net/20.500.11937/53664

Similar Items

A first-order BSPDE for swing option pricing
by: Bender, C., et al.
Published: (2014)

A First-Order BSPDE for Swing Option Pricing: Classical Solutions
by: Bender, C., et al.
Published: (2017)

Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
by: Dokuchaev, Nikolai
Published: (2005)

Dimension reduction and Mutual Fund Theorem in maximin setting for bond market
by: Dokuchaev, Nikolai
Published: (2011)

Parabolic equations with the second-order Cauchy conditions on the boundary
by: Dokuchaev, Nikolai
Published: (2007)

On the dependence of the first exit times on the fluctuations of the domain boundary
by: Dokuchaev, Nikolai
Published: (2015)

Representation of functionals of Ito processes and their first exit times
by: Dokuchaev, Nikolai
Published: (2011)

Estimates for first exit times of non-Markovian Ito processes
by: Dokuchaev, Nikolai
Published: (2008)

Predictors for discrete time processes with energy decay on higher frequencies
by: Dokuchaev, Nikolai
Published: (2012)

Maximin investment problems for discounted and total wealth
by: Dokuchaev, Nikolai
Published: (2008)

Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies
by: Dokuchaev, Nikolai
Published: (2010)

On the structure of multifactor optimal portfolio strategies
by: Dokuchaev, Nikolai
Published: (2017)

On exact and optimal recovering of missing values for sequences
by: Dokuchaev, Nikolai
Published: (2017)

Optimal replication of random vectors by ordinary integrals
by: Dokuchaev, Nikolai
Published: (2013)

On differentiation of functionals containing the first exit of a diffusion process from a domain
by: Gusev, S., et al.
Published: (2015)

Weighted in time energy estimates for parabolic equations with applications to non-linear and non-local problems
by: Dokuchaev, Nikolai
Published: (2012)

Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation.
by: Dokuchaev, Nikolai
Published: (2006)

On a control problem for an infinite system of differential equations of first order.
by: Ibragimov, Gafurjan, et al.
Published: (2011)

Optimal replication of random claims by ordinary integrals with applications in finance
by: Dokuchaev, Nikolai
Published: (2013)

Optimal gradual liquidation of equity from a risky asset
by: Dokuchaev, Nikolai
Published: (2010)

Discrete time market with serial correlations and optimal myopic strategies.
by: Dokuchaev, Nikolai
Published: (2007)

Optimal energy storing and selling in continuous time stochastic multi-battery setting
by: Dokuchaev, Nikolai
Published: (2015)

Optimality of myopic strategies for multi-stock discrete time market with management costs
by: Dokuchaev, Nikolai
Published: (2010)

Continuously controlled options: derivatives with added flexibility
by: Dokuchaev, Nikolai
Published: (2013)

Parallel Solvers Using PETSc For Nonlinear Conduction Problems In Higher Dimensions
by: Rosli, Muhammad Hisyamuddin
Published: (2018)

Higher-Order optimality conditions for set-valued optimization
by: Li, S., et al.
Published: (2008)

On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
by: Rodkina, A., et al.
Published: (2015)

Application of optimized higher order sliding mode control on MEMS optical switch
by: Keramati, Ehsan, et al.
Published: (2012)

Discrete first-order three-point boundary value problem
by: Mohamed, Mesliza, et al.
Published: (2009)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

The first return time and dimension
by: Nawi, Ashraf Mohamed, et al.
Published: (2011)

Solutions of higher order boundary value problems by homotopy perturbation method
by: Razali, NurIsnida, et al.
Published: (2014)

Solutions of higher order boundary value problems by homotopy perturbation method
by: Razali, Nur Isnida, et al.
Published: (2016)

Eigenvalue Problem of Nonlinear Semipositone Higher Order Fractional Differential Equations
by: Wu, J., et al.
Published: (2012)

Nontrivial solutions for higher order multi-point boundary value problems
by: Zhang, Xinguang, et al.
Published: (2008)

Runge-Kutta type methods for solving third-order ordinary differential equations and first-order oscillatory problems
by: Alshareeda, Firas Adel Fawzi
Published: (2017)

Second derivative block methods for solving first and higher order ordinary differential equations
by: Turki, Mohammed Yousif
Published: (2018)

On detecting predictability of one-sided sequences
by: Dokuchaev, Nikolai
Published: (2017)

On degenerate backward SPDEs in bounded domains under non-local conditions
by: Dokuchaev, Nikolai
Published: (2018)

Causal band-limitness and predictability criterions for one-sided sequences
by: Dokuchaev, Nikolai
Published: (2014)

Cannot write session to /tmp/vufind_sessions/sess_8ng8bkuqag4hsoelivuoe1h2t8