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20082021
most citedA general theory of Finite State Backward Stochastic Difference Equations

101 citations · 224 across the 20 of their papers we have counts for

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math.OC2019

Optimal Liquidation in Target Zone Models and Neumann Problem of Backward SPDEs with Singular Terminal Condition

Robert Elliott, Jinniao Qiu, Wenning Wei

We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflection…

math.OC2013

Discrete Time Mean-Field Stochastic Linear-Quadratic Optimal Control Problems

Robert. J Elliott, Xun Li, Yuan-Hua Ni

This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by intro…