83 citations · 230 across the 51 of their papers we have counts for
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math.OC2012★ 4 cited
Path-Dependent Optimal Stochastic Control and Viscosity Solution of Associated Bellman Equations
Shanjian Tang, Fu Zhang
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equa…
math.PR2012★ 1 cited
Optimal Stochastic Control with Recursive Cost Functionals of Stochastic Differential Systems Reflected in a Domain
Juan Li, Shanjian Tang
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined vi…