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20072024
most citedStochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations

4 citations · 8 across the 19 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

math.OC2020

Multiscale Linear-Quadratic Stochastic Optimal Control With Multiplicative Noise

Beniamin Goldys, Gianmario Tessitore, James Yang +1

We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian no…

math.AP2020

Fokker-Planck equations with terminal condition and related McKean probabilistic representation

Lucas Izydorczyk, Nadia Oudjane, Francesco Russo +1

Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem…