5 citations · 13 across the 8 of their papers we have counts for
4 papers · 1 filter
Approximate and Approximate Null-Controllability of a Class of Piecewise Linear Markov Switch Systems
Dan Goreac, Claudia Grosu, Eduard Rotenstein
We propose an explicit, easily-computable algebraic criterion for approximate null-controllability of a class of general piecewise linear switch systems with multiplicative noise.…
Pricing financial derivatives by a minimizing method
Eduard Rotenstein
We shall study backward stochastic differential equations and we will present a new approach for the existence of the solution. This type of equation appears very often in the valu…
The Fitzpatrick function - a bridge between convex analysis and multivalued stochastic differential equations
Aurel Rascanu, Eduard Rotenstein
Using the Fitzpatrick function, we characterize the solutions for different classes of deterministic and stochastic differential equations driven by maximal monotone operators (or…
A Generalized Mixed Zero-sum Stochastic Differential Game and Double Barrier Reflected BSDEs with Quadratic Growth Coefficient
Said Hamadene, Eduard Rotenstein, Adrian Zalinescu
This article is dedicated to the study of mixed zero-sum two-player stochastic differential games in the situation when the player's cost functionals are modeled by doubly controll…