1 citations · 2 across the 4 of their papers we have counts for
4 papers
A mixed relaxed singular maximum principle for linear SDEs with random coefficients
Daniel Andersson
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive ex…
Solving Min-Max Problems with Applications to Games
Daniel Andersson
We refine existing general network optimization techniques, give new characterizations for the class of problems to which they can be applied, and show that they can also be used t…
A maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimization
Daniel Andersson, Boualem Djehiche
We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two m…
Simple Recursive Games
Daniel Andersson, Kristoffer Arnsfelt Hansen, Peter Bro Miltersen +1
We define the class of "simple recursive games". A simple recursive game is defined as a simple stochastic game (a notion due to Anne Condon), except that we allow arbitrary real p…