90 citations · 91 across the 2 of their papers we have counts for
2 papers
math.PR2005★ 90 cited
On some recent aspects of stochastic control and their applications
Huyen Pham
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's…
math.PR2004★ 1 cited
On the smooth-fit property for one-dimensional optimal switching problem
Huyen Pham
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulti…