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82

Avariational Approach to Nonlinear Estimation
Sanjoy K. Mitter ; Nigel J. Newton ; The Pennsylvania State University CiteSeerX Archives
http://www.mit.edu/people/mitter/publications/newton_variational_approach.pdf.

Key words. Bayesian Infe... Information Theory Legendre-type Transforms Nonlinear Filtering Stochastic Optimal Contr...
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83

Lagrange approach to the optimal control of diffusions
P. KOSMOL ; PAVON, MICHELE
Acta Applicandae Mathematicae. 32:101-122

0209 industrial biotechn... structure nonconvexity Optimal stochastic contr... Optimal control problems... 02 engineering and techn... 0101 mathematics
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84

Bounds for Markov Decision Processes
Sloan School of Management ; Farias, Vivek F. ; Desai, Vijay V. ; et al.
Non-MIT author website

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85

Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
Sanjoy K. Mitter ; Wendell H. Fleming
Stochastics. 8:63-77

0209 industrial biotechn... 02 engineering and techn... 0101 mathematics 01 natural sciences
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87

An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
El Karoui, Nicole ; Mrad, Mohamed ; Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP) ; et al.
Hyper Article en Ligne - Sciences de l'Homme et de la Société ; 2010

forward utility performance criteria horizon-unbiased utility consistent utility progressive utility portfolio optimization
Report
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89

Degenerate optimal control problems with state constraints
VINTER RICHARD ; RAMPAZZO, FRANCO ; Vinter, Richard ; et al.

Optimal control state constraints
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90

A new approach to principal-agent problems with volatility control
Alessandro Chiusolo ; Emma Hubert
arXiv.org, Papers.

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93
94

Policy gradient methods for optimal trade execution in limit order books
Michael Giegrich ; Roel Oomen ; Christoph Reisinger
Journal of Computational Finance.

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