Add to ORKGWe give a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer can be characterized by a class of forward-backward stochastic differential equations. As an application, we give an approach, from the duality theorem, to $h$-path processes for diffusion processes
For the stochastic partial differential equation $\frac{\partial u}{\partial t}=\mathcal L u +u\dot...
We prove the existence and uniqueness of strong solutions for linear stochastic differential equatio...
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of...
AbstractThis work is concerned with an optimal control approach to stochastic nonlinear parabolic di...
The verification theorem serving as an optimality condition for the optimal control problem, has bee...
AbstractWe prove a duality theorem for the stochastic optimal control problem with a convex cost fun...
The purpose of this paper is to give necessary conditions for the optimality of nonlinear stochastic...
AbstractFor stochastic differential equations with jumps, we prove that W1H transportation inequalit...
We show the existence of a semimartingale of which one-dimensional marginal distributions are given ...
We consider backward stochastic differential equations with convex constraints on the gains (or inte...
Canonical duality theory for solving the well-known benchmark test problem of stochastic Rosenbrock ...
AbstractWe prove a result on the preservation of the pathwise uniqueness property for the adapted so...
AbstractSemiparametric necessary and sufficient proper efficiency conditions are established for a c...
Dans le présent document on aborde trois divers thèmes liés au contrôle et au calcul stochastiques, ...
Parallel sessionInternational audienceWe consider an infinite horizon problem with state constraints...
For the stochastic partial differential equation $\frac{\partial u}{\partial t}=\mathcal L u +u\dot...
We prove the existence and uniqueness of strong solutions for linear stochastic differential equatio...
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of...
AbstractThis work is concerned with an optimal control approach to stochastic nonlinear parabolic di...
The verification theorem serving as an optimality condition for the optimal control problem, has bee...
AbstractWe prove a duality theorem for the stochastic optimal control problem with a convex cost fun...
The purpose of this paper is to give necessary conditions for the optimality of nonlinear stochastic...
AbstractFor stochastic differential equations with jumps, we prove that W1H transportation inequalit...
We show the existence of a semimartingale of which one-dimensional marginal distributions are given ...
We consider backward stochastic differential equations with convex constraints on the gains (or inte...
Canonical duality theory for solving the well-known benchmark test problem of stochastic Rosenbrock ...
AbstractWe prove a result on the preservation of the pathwise uniqueness property for the adapted so...
AbstractSemiparametric necessary and sufficient proper efficiency conditions are established for a c...
Dans le présent document on aborde trois divers thèmes liés au contrôle et au calcul stochastiques, ...
Parallel sessionInternational audienceWe consider an infinite horizon problem with state constraints...
For the stochastic partial differential equation $\frac{\partial u}{\partial t}=\mathcal L u +u\dot...
We prove the existence and uniqueness of strong solutions for linear stochastic differential equatio...
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of...