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  1. Journal of Optimization Theory and Applications
  2. Journal of Optimization Theory and Applications : Volume 170
  3. Journal of Optimization Theory and Applications : Volume 170, Issue 3, September 2016
  4. Stochastic Perron for Stochastic Target Problems
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Journal of Optimization Theory and Applications : Volume 173
Journal of Optimization Theory and Applications : Volume 172
Journal of Optimization Theory and Applications : Volume 171
Journal of Optimization Theory and Applications : Volume 170
Journal of Optimization Theory and Applications : Volume 170, Issue 3, September 2016
Constrained Evolution for a Quasilinear Parabolic Equation
Costate Computation by an Adaptive Pseudospectral Method for Solving Optimal Control Problems with Piecewise Constant Time Lag
Optimal Bilinear Control of Nonlinear Hartree Equations with Singular Potentials
Noncontrollability to Rest of the Two-Dimensional Distributed System Governed by the Integrodifferential Equation
On Some Basic Results Related to Affine Functions on Riemannian Manifolds
Locally Densely Defined Equilibrium Problems
On the Existence of Projected Solutions of Quasi-Variational Inequalities and Generalized Nash Equilibrium Problems
Nonlinear Programming via König’s Maximum Theorem
Best Lipschitz Constants of Solutions of Quadratic Programs
Method of Outer Approximations and Adaptive Approximations for a Class of Matrix Games
A Weighted Mirror Descent Algorithm for Nonsmooth Convex Optimization Problem
Enlargement of Monotone Vector Fields and an Inexact Proximal Point Method for Variational Inequalities in Hadamard Manifolds
On the Convergence of Adaptive Stochastic Search Methods for Constrained and Multi-objective Black-Box Optimization
Internal Feedback Stabilization of Nonstationary Solutions to Semilinear Parabolic Systems
Robust Route Realization by Linear-Quadratic Tracking
Manufacturing High-Tech Products Subject to Rapid Obsolescence
The Non-convex Sparse Problem with Nonnegative Constraint for Signal Reconstruction
Stochastic Perron for Stochastic Target Problems
A Modified Generalized Newton Method for Absolute Value Equations
Optimal VLSI Delay Tuning by Wire Shielding
What Do ‘Convexities’ Imply on Hadamard Manifolds?
Solving Geometric Programming Problems with Normal, Linear and Zigzag Uncertainty Distributions
Journal of Optimization Theory and Applications : Volume 170, Issue 2, August 2016
Journal of Optimization Theory and Applications : Volume 170, Issue 1, July 2016
Journal of Optimization Theory and Applications : Volume 169
Journal of Optimization Theory and Applications : Volume 168
Journal of Optimization Theory and Applications : Volume 167
Journal of Optimization Theory and Applications : Volume 166
Journal of Optimization Theory and Applications : Volume 165
Journal of Optimization Theory and Applications : Volume 164
Journal of Optimization Theory and Applications : Volume 163
Journal of Optimization Theory and Applications : Volume 162
Journal of Optimization Theory and Applications : Volume 161
Journal of Optimization Theory and Applications : Volume 160
Journal of Optimization Theory and Applications : Volume 159
Journal of Optimization Theory and Applications : Volume 158
Journal of Optimization Theory and Applications : Volume 157
Journal of Optimization Theory and Applications : Volume 156
Journal of Optimization Theory and Applications : Volume 155
Journal of Optimization Theory and Applications : Volume 154
Journal of Optimization Theory and Applications : Volume 153
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Journal of Optimization Theory and Applications : Volume 139
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Journal of Optimization Theory and Applications : Volume 128
Journal of Optimization Theory and Applications : Volume 127
Journal of Optimization Theory and Applications : Volume 126
Journal of Optimization Theory and Applications : Volume 125
Journal of Optimization Theory and Applications : Volume 124
Journal of Optimization Theory and Applications : Volume 123
Journal of Optimization Theory and Applications : Volume 122
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Journal of Optimization Theory and Applications : Volume 120
Journal of Optimization Theory and Applications : Volume 119
Journal of Optimization Theory and Applications : Volume 118
Journal of Optimization Theory and Applications : Volume 117
Journal of Optimization Theory and Applications : Volume 116
Journal of Optimization Theory and Applications : Volume 115
Journal of Optimization Theory and Applications : Volume 114
Journal of Optimization Theory and Applications : Volume 113
Journal of Optimization Theory and Applications : Volume 112
Journal of Optimization Theory and Applications : Volume 111
Journal of Optimization Theory and Applications : Volume 110
Journal of Optimization Theory and Applications : Volume 109
Journal of Optimization Theory and Applications : Volume 108
Journal of Optimization Theory and Applications : Volume 107
Journal of Optimization Theory and Applications : Volume 106
Journal of Optimization Theory and Applications : Volume 105
Journal of Optimization Theory and Applications : Volume 104
Journal of Optimization Theory and Applications : Volume 103
Journal of Optimization Theory and Applications : Volume 102
Journal of Optimization Theory and Applications : Volume 101
Journal of Optimization Theory and Applications : Volume 100
Journal of Optimization Theory and Applications : Volume 99
Journal of Optimization Theory and Applications : Volume 98
Journal of Optimization Theory and Applications : Volume 97
Journal of Optimization Theory and Applications : Volume 96
Journal of Optimization Theory and Applications : Volume 95
Journal of Optimization Theory and Applications : Volume 94
Journal of Optimization Theory and Applications : Volume 93
Journal of Optimization Theory and Applications : Volume 92

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Stochastic Perron for Stochastic Target Problems

Content Provider Springer Nature Link
Author Li, Jiaqi Bayraktar, Erhan
Copyright Year 2016
Abstract In this paper, we adapt stochastic Perron’s method to analyze stochastic target problems in a jump diffusion setup, where the controls are unbounded. Since classical control problems can be analyzed under the framework of stochastic target problems (with unbounded controls), we use our results to generalize the results of Bayraktar and Sîrbu (SIAM J Control Optim 51(6):4274–4294, 2013) to problems with controlled jumps.
Ending Page 1054
Page Count 29
Starting Page 1026
File Format PDF
ISSN 00223239
e-ISSN 15732878
Journal Journal of Optimization Theory and Applications
Issue Number 3
Volume Number 170
Language English
Publisher Springer US
Publisher Date 2016-05-31
Publisher Place New York
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Dynamic programming method Stochastic target problems Martingales and classical analysis Theory of Computation Optimization Viscosity solutions Unbounded controls Engineering Stochastic Perron’s method Jump diffusion processes Calculus of Variations and Optimal Control; Optimization Optimal stochastic control Applications of Mathematics Operation Research/Decision Theory
Content Type Text
Resource Type Article
Subject Applied Mathematics Control and Optimization Management Science and Operations Research
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