IDEAS home Printed from https://ideas.repec.org/r/hal/journl/hal-01505767.html
   My bibliography  Save this item

Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Fausto Gozzi & Federica Masiero & Mauro Rosestolato, 2024. "An optimal advertising model with carryover effect and mean field terms," Mathematics and Financial Economics, Springer, volume 18, number 9, December.
  2. Bambi, Mauro & Gozzi, Fausto, 2020. "Internal habits formation and optimality," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 165-172.
  3. Hidekazu Yoshioka & Yuta Yaegashi, 2020. "A growth rate control problem of harmful species population and its application to algae bloom," Environment Systems and Decisions, Springer, vol. 40(1), pages 107-124, March.
  4. Jean-Pierre Fouque & Zhaoyu Zhang, 2018. "Mean Field Game with Delay: A Toy Model," Risks, MDPI, vol. 6(3), pages 1-17, September.
  5. Faggian, Silvia & Gozzi, Fausto & Kort, Peter M., 2021. "Optimal investment with vintage capital: Equilibrium distributions," Journal of Mathematical Economics, Elsevier, vol. 96(C).
  6. Boucekkine, Raouf & Fabbri, Giorgio & Federico, Salvatore & Gozzi, Fausto, 2022. "A dynamic theory of spatial externalities," Games and Economic Behavior, Elsevier, vol. 132(C), pages 133-165.
  7. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019. "Growth and agglomeration in the heterogeneous space: a generalized AK approach," Journal of Economic Geography, Oxford University Press, vol. 19(6), pages 1287-1318.
  8. Giorgio Fabbri & Francesco Russo, 2017. "HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations via Generalized Fukushima Decomposition," AMSE Working Papers 1704, Aix-Marseille School of Economics, France.
  9. Bruno Bouchard & Boualem Djehiche & Idris Kharroubi, 2020. "Quenched Mass Transport of Particles Toward a Target," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 345-374, August.
  10. Robert Balkin & Hector D. Ceniceros & Ruimeng Hu, 2023. "Stochastic Delay Differential Games: Financial Modeling and Machine Learning Algorithms," Papers 2307.06450, arXiv.org.
  11. Georgii Riabov & Aleh Tsyvinski, 2021. "Policy with stochastic hysteresis," Papers 2104.10225, arXiv.org.
  12. Hanchao Liu & Dena Firoozi, 2024. "Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis," Papers 2403.01012, arXiv.org, revised Aug 2025.
  13. Phoebe Koundouri & Georgios I. Papayiannis & Athanasios Yannacopoulos, 2022. "Optimal Control Approaches to Sustainability under Uncertainty," DEOS Working Papers 2215, Athens University of Economics and Business.
  14. Djehiche, Boualem & Gozzi, Fausto & Zanco, Giovanni & Zanella, Margherita, 2022. "Optimal portfolio choice with path dependent benchmarked labor income: A mean field model," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 48-85.
  15. Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019. "Distributed Optimal Control Models in Environmental Economics: A Review," AMSE Working Papers 1902, Aix-Marseille School of Economics, France.
  16. Ulrich Horst & Xiaonyu Xia, 2018. "Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint," Papers 1809.01972, arXiv.org, revised Apr 2020.
  17. Michele Giordano & Anton Yurchenko-Tytarenko, 2024. "Optimal control in linear-quadratic stochastic advertising models with memory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 275-298, June.
  18. Manil T. Mohan & Kumarasamy Sakthivel & Sivaguru S. Sritharan, 2024. "Dynamic Programming of the Stochastic Burgers Equation Driven by Lévy Noise," Journal of Optimization Theory and Applications, Springer, vol. 201(2), pages 490-538, May.
  19. René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2018. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 366-399, November.
  20. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  21. Briand, Philippe & Cardaliaguet, Pierre & Chaudru de Raynal, Paul-Éric & Hu, Ying, 2020. "Forward and backward stochastic differential equations with normal constraints in law," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7021-7097.
  22. Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
  23. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
  24. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "A dynamic theory of spatial externalities," Working Papers halshs-02613177, HAL.
  25. Alexander M. G. Cox & Sigrid Kallblad & Martin Larsson & Sara Svaluto-Ferro, 2021. "Controlled Measure-Valued Martingales: a Viscosity Solution Approach," Papers 2109.00064, arXiv.org, revised Aug 2023.
  26. Blessing, Jonas & Denk, Robert & Kupper, Michael & Nendel, Max, 2022. "Convex Monotone Semigroups and their Generators with Respect to $\Gamma$-Convergence," Center for Mathematical Economics Working Papers 662, Center for Mathematical Economics, Bielefeld University.
  27. Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Papers 1309.0474, arXiv.org, revised Jun 2017.
  28. Masiero, Federica & Orrieri, Carlo & Tessitore, Gianmario & Zanco, Giovanni, 2021. "Semilinear Kolmogorov equations on the space of continuous functions via BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 1-56.
  29. Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.
  30. Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
  31. Pieper-Sethmacher, Thorben & van der Meulen, Frank & van der Vaart, Aad, 2025. "On a class of exponential changes of measure for stochastic PDEs," Stochastic Processes and their Applications, Elsevier, vol. 185(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.