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21

PATHWISE STOCHASTIC OPTIMAL CONTROL
ROGERS, L. C. G
SIAM journal on control and optimization. 46(3):1116-1127

Control theory, operatio... Automatique, recherche o... Sciences exactes et tech... Exact sciences and techn... Sciences appliquees Applied sciences …
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22

ERGODIC CONTROL OF CONTINUOUS-TIME MARKOV CHAINS WITH PATHWISE CONSTRAINTS
PRIETO-RUMEAU, Tomas ; HERNANDEZ-LERMA, Onésimo
SIAM journal on control and optimization. 47(4):1888-1908

Control theory, operatio... Automatique, recherche o... Sciences exactes et tech... Exact sciences and techn... Sciences et techniques c... Sciences and techniques... …
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23

A note on an LQG regulator with Markovian switching and pathwise average cost
GHOSH, M. K ; ARAPOSTATHIS, A ; MARCUS, S. I
IEEE transactions on automatic control. 40(11):1919-1921

Control theory, operatio... Automatique, recherche o... Sciences exactes et tech... Exact sciences and techn... Sciences appliquees Applied sciences …
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24

Foundations of Multistage Stochastic Programming
Dommel, Paul ; Pichler, Alois

Mathematics - Optimizati...
Report
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25

Existence and uniqueness for variational data assimilation in continuous time.
Bröcker, Jochen
Mathematical Control & Related Fields; Mar2023, Vol. 13 Issue 1, p1-22, 22p

PONTRYAGIN'S minimum pri... DYNAMIC programming TIME series analysis
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26

Quantifying the impact of farmer mac prepayment penalties
Brinch, Brian M. ; Stokes, Jeffrey R.
Agricultural Finance Review, 2001, Vol. 61, Issue 2, pp. 141-159.

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27

A unified framework for robust modelling of financial markets in discrete time.
Obłój, Jan ; Wiesel, Johannes
Finance & Stochastics; Jul2021, Vol. 25 Issue 3, p427-468, 42p

FINANCIAL markets MARKET timing ARBITRAGE DYNAMIC programming
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28

PATHWISE STOCHASTIC OPTIMAL CONTROL.
Rogers, L. C. G.
SIAM Journal on Control & Optimization; 2007, Vol. 46 Issue 3, p1116-1132, 17p

MARKOV processes LAGRANGE equations NUMERICAL analysis MONTE Carlo method STOCHASTIC analysis DYNAMIC programming …
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29

Continuous-review tracking policies for dynamic control of stochastic networks
MAGLARAS, Constantinos
Queueing systems. 43(1-2):43-80

Control theory, operatio... Automatique, recherche o... Computer science Informatique Sciences exactes et tech... Exact sciences and techn... …
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30

Pathwise Stochastic Control with Applications to Robust Filtering
Allan, Andrew L. ; Cohen, Samuel N.

Mathematics - Probabilit... 60H99, 93E20, 93E11
Report
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31

The LQR-Schrödinger Bridge
Lambert, Marc ; Statistical Machine Learning and Parsimony (SIERRA) ; Département d'informatique - ENS-PSL (DI-ENS) ; et al.
64th IEEE Conference on Decision and Control, Dec 2025, Rio de Jaineiro, France

Rio de Jaineiro, France Sinkhorn Algorithm LQR Optimal transport Schrodinger bridge [PHYS.PHYS.PHYS-GEN-PH]P... …
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32

Pathwise Optimization for Merchant Energy Production
Yang, Bo ; Nadarajah, Selvaprabu ; Secomandi, Nicola

Mathematics - Optimizati...
Report
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33

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34

Pathwise uniform value in gambling houses and Partially Observable Markov Decision Processes
Venel, Xavier ; Ziliotto, Bruno

Mathematics - Optimizati... 90C39, 90C40, 37A50, 47N...
Report
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35

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36

PATHWISE STOCHASTIC CONTROL WITH APPLICATIONS TO ROBUST FILTERING
Allan, Andrew L. ; Cohen, Samuel N.
The Annals of Applied Probability, 2020 Oct 01. 30(5), 2274-2310.

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37

A new approach to principal-agent problems with volatility control
Chiusolo, Alessandro ; Hubert, Emma ; Princeton University

Principal-agent problems volatility control moral hazard first-best [MATH.MATH-OC]Mathematic... Optimization and Control...
E-Ressource
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39

Mechanics of good trade execution in the framework of linear temporary market impact.
Bellani, Claudio ; Brigo, Damiano
Quantitative Finance. Jan2021, Vol. 21 Issue 1, p143-163. 21p.

INITIAL value problems EULER-Lagrange equations CALCULUS of variations DIFFERENTIAL equations EXECUTIONS & executioner...
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