97 citations · 798 across the 62 of their papers we have counts for
Showing 2014 · math.PRShow all
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math.PR2014★ 3 cited
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
Andrea Cosso, Marco Fuhrman, Huyen Pham
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control bot…
math.PR2014
Feynman-Kac representation of fully nonlinear PDEs and applications
Huyen Pham
The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic proces…
math.PR2014★ 1 cited
Robust feedback switching control: dynamic programming and viscosity solutions
Erhan Bayraktar, Andrea Cosso, Huyen Pham
We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non st…