5 citations · 8 across the 2 of their papers we have counts for
3 papers
math.OC2015★ 3 cited
Classical Adjoints for Ergodic Stochastic Control
Samuel N. Cohen, Victor Fedyashov
In this paper we consider ergodic optimal control of a diffusion process , taking values in $\bR^n$, where both drift and volatility are controlled. We establ…
math.PR2015
Nash equilibria for non zero-sum ergodic stochastic differential games
Samuel N. Cohen, Victor Fedyashov
In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection…
math.PR2014★ 5 cited
Ergodic BSDEs with jumps and time dependence
Samuel N. Cohen, Victor Fedyashov
In this paper we look at ergodic BSDEs in the case where the forward dynamics are given by the solution to a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck SDE with…