89 citations · 145 across the 17 of their papers we have counts for
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math.PR2012
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
Erhan Bayraktar, Mihai Sirbu
We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of th…
q-fin.PM2012
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Jin Hyuk Choi, Mihai Sirbu, Gordan Zitkovic
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muh…
math.OC2012
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Erhan Bayraktar, Mihai Sirbu
We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a…