검색결과 : 10건
| No. | Article |
|---|---|
| 1 |
On the Controller-Stopper Problems with Controlled Jumps Bayraktar E, Li JQ Applied Mathematics and Optimization, 80(1), 195, 2019 |
| 2 |
SECOND-ORDER STOCHASTIC TARGET PROBLEMS WITH GENERALIZED MARKET IMPACT Bouchard B, Loeper G, Soner HM, Zhou C SIAM Journal on Control and Optimization, 57(6), 4125, 2019 |
| 3 |
A Comparison Principle for PDEs Arising in Approximate Hedging Problems: Application to Bermudan Options Bouveret G, Chassagneux JF Applied Mathematics and Optimization, 78(3), 469, 2018 |
| 4 |
HEDGING OF COVERED OPTIONS WITH LINEAR MARKET IMPACT AND GAMMA CONSTRAINT Bouchard B, Loeper G, Zou YY SIAM Journal on Control and Optimization, 55(5), 3319, 2017 |
| 5 |
STATE-CONSTRAINED STOCHASTIC OPTIMAL CONTROL PROBLEMS VIA REACHABILITY APPROACH Bokanowski O, Picarelli A, Zidani H SIAM Journal on Control and Optimization, 54(5), 2568, 2016 |
| 6 |
STOCHASTIC TARGET PROBLEMS WITH CONTROLLED LOSS IN JUMP DIFFUSION MODELS Moreau L SIAM Journal on Control and Optimization, 49(6), 2577, 2011 |
| 7 |
The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints Bouchard B, Vu TN Applied Mathematics and Optimization, 61(2), 235, 2010 |
| 8 |
OPTIMAL CONTROL UNDER STOCHASTIC TARGET CONSTRAINTS Bouchard B, Elie R, Imbert C SIAM Journal on Control and Optimization, 48(5), 3501, 2010 |
| 9 |
THE DYNAMIC PROGRAMMING EQUATION FOR SECOND ORDER STOCHASTIC TARGET PROBLEMS Soner HM, Touzi N SIAM Journal on Control and Optimization, 48(4), 2344, 2009 |
| 10 |
STOCHASTIC TARGET PROBLEMS WITH CONTROLLED LOSS Bouchard B, Elie R, Touzi N SIAM Journal on Control and Optimization, 48(5), 3123, 2009 |