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Perninge, Magnus Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers. (English) Zbl 1509.60119 ESAIM, Control Optim. Calc. Var. 29, Paper No. 25, 28 p. (2023). MSC: 60H10 93E20 49L20 PDFBibTeX XMLCite \textit{M. Perninge}, ESAIM, Control Optim. Calc. Var. 29, Paper No. 25, 28 p. (2023; Zbl 1509.60119) Full Text: DOI arXiv
Hamadène, Said; Jasso-Fuentes, Héctor; Osorio-Agudelo, Yamid A. On a switching control problem with càdlàg costs. (English) Zbl 1496.60038 Stochastics 94, No. 1, 51-85 (2022). MSC: 60G40 62P20 91G50 93E20 PDFBibTeX XMLCite \textit{S. Hamadène} et al., Stochastics 94, No. 1, 51--85 (2022; Zbl 1496.60038) Full Text: DOI arXiv
Bian, Baojun; Chen, Xinfu; Dai, Min; Qian, Shuaijie Penalty method for portfolio selection with capital gains tax. (English) Zbl 1522.91209 Math. Finance 31, No. 3, 1013-1055 (2021). MSC: 91G10 91B64 49L25 PDFBibTeX XMLCite \textit{B. Bian} et al., Math. Finance 31, No. 3, 1013--1055 (2021; Zbl 1522.91209) Full Text: DOI
El Asri, Brahim; Mazid, Sehail Stochastic impulse control problem with state and time dependent cost functions. (English) Zbl 1461.93541 Math. Control Relat. Fields 10, No. 4, 855-875 (2020). MSC: 93E20 93C27 93C20 49L25 PDFBibTeX XMLCite \textit{B. El Asri} and \textit{S. Mazid}, Math. Control Relat. Fields 10, No. 4, 855--875 (2020; Zbl 1461.93541) Full Text: DOI
Fuhrman, Marco; Morlais, Marie-Amélie Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs. (English) Zbl 1435.60046 Stochastic Processes Appl. 130, No. 5, 3120-3153 (2020). MSC: 60H10 93E20 PDFBibTeX XMLCite \textit{M. Fuhrman} and \textit{M.-A. Morlais}, Stochastic Processes Appl. 130, No. 5, 3120--3153 (2020; Zbl 1435.60046) Full Text: DOI arXiv HAL
Eddahbi, M’hamed; Fakhouri, Imade; Ouknine, Youssef A balance sheet optimal multi-modes switching problem. (English) Zbl 1449.60082 Afr. Mat. 31, No. 2, 219-236 (2020). MSC: 60G40 93E20 62P20 91B99 PDFBibTeX XMLCite \textit{M. Eddahbi} et al., Afr. Mat. 31, No. 2, 219--236 (2020; Zbl 1449.60082) Full Text: DOI
Confortola, Fulvia; Cosso, Andrea; Fuhrman, Marco Backward SDEs and infinite horizon stochastic optimal control. (English) Zbl 1458.60068 ESAIM, Control Optim. Calc. Var. 25, Paper No. 31, 30 p. (2019). MSC: 60H10 93E20 PDFBibTeX XMLCite \textit{F. Confortola} et al., ESAIM, Control Optim. Calc. Var. 25, Paper No. 31, 30 p. (2019; Zbl 1458.60068) Full Text: DOI arXiv
Hamadène, S.; Martyr, R.; Moriarty, J. A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time. (English) Zbl 1471.91071 Adv. Appl. Probab. 51, No. 2, 425-442 (2019). MSC: 91A55 60G40 91A05 49N25 PDFBibTeX XMLCite \textit{S. Hamadène} et al., Adv. Appl. Probab. 51, No. 2, 425--442 (2019; Zbl 1471.91071) Full Text: DOI arXiv Link
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. (English) Zbl 1405.93229 Stochastic Processes Appl. 129, No. 2, 674-711 (2019). MSC: 93E20 60G35 60H30 93C20 90C39 49L25 49N10 PDFBibTeX XMLCite \textit{E. Bandini} et al., Stochastic Processes Appl. 129, No. 2, 674--711 (2019; Zbl 1405.93229) Full Text: DOI arXiv
Elie, Romuald; Moreau, Ludovic; Possamaï, Dylan On a class of path-dependent singular stochastic control problems. (English) Zbl 1401.60111 SIAM J. Control Optim. 56, No. 5, 3260-3295 (2018). MSC: 60H10 60H30 49L20 PDFBibTeX XMLCite \textit{R. Elie} et al., SIAM J. Control Optim. 56, No. 5, 3260--3295 (2018; Zbl 1401.60111) Full Text: DOI arXiv
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach. (English) Zbl 1431.60045 Ann. Appl. Probab. 28, No. 3, 1634-1678 (2018). MSC: 60H10 93E20 PDFBibTeX XMLCite \textit{E. Bandini} et al., Ann. Appl. Probab. 28, No. 3, 1634--1678 (2018; Zbl 1431.60045) Full Text: DOI Euclid
Baradel, Nicolas; Bouchard, Bruno; Dang, Ngoc Minh Optimal control under uncertainty and Bayesian parameters adjustments. (English) Zbl 1386.49039 SIAM J. Control Optim. 56, No. 2, 1038-1057 (2018). MSC: 49L20 49L25 PDFBibTeX XMLCite \textit{N. Baradel} et al., SIAM J. Control Optim. 56, No. 2, 1038--1057 (2018; Zbl 1386.49039) Full Text: DOI arXiv
Bandini, Elena; Fuhrman, Marco Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes. (English) Zbl 1362.93163 Stochastic Processes Appl. 127, No. 5, 1441-1474 (2017). MSC: 93E20 60H10 60G55 60J25 PDFBibTeX XMLCite \textit{E. Bandini} and \textit{M. Fuhrman}, Stochastic Processes Appl. 127, No. 5, 1441--1474 (2017; Zbl 1362.93163) Full Text: DOI arXiv
Martyr, Randall Finite-horizon optimal multiple switching with signed switching costs. (English) Zbl 1350.93096 Math. Oper. Res. 41, No. 4, 1432-1447 (2016). MSC: 93E20 60G40 90C39 62P20 PDFBibTeX XMLCite \textit{R. Martyr}, Math. Oper. Res. 41, No. 4, 1432--1447 (2016; Zbl 1350.93096) Full Text: DOI arXiv
Kharroubi, Idris Optimal switching in finite horizon under state constraints. (English) Zbl 1346.49038 SIAM J. Control Optim. 54, No. 4, 2202-2233 (2016). MSC: 49K45 49L20 49J40 93E20 60J60 60H10 60H30 91B32 PDFBibTeX XMLCite \textit{I. Kharroubi}, SIAM J. Control Optim. 54, No. 4, 2202--2233 (2016; Zbl 1346.49038) Full Text: DOI arXiv
Fuhrman, Marco; Pham, Huyên Randomized and backward SDE representation for optimal control of non-Markovian SDEs. (English) Zbl 1322.60087 Ann. Appl. Probab. 25, No. 4, 2134-2167 (2015). MSC: 60H10 93E20 PDFBibTeX XMLCite \textit{M. Fuhrman} and \textit{H. Pham}, Ann. Appl. Probab. 25, No. 4, 2134--2167 (2015; Zbl 1322.60087) Full Text: DOI arXiv Euclid
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. (English) Zbl 1325.60087 Stochastic Processes Appl. 125, No. 2, 597-633 (2015). MSC: 60H10 60H30 49J40 49N70 49J55 60J60 60J75 35K86 91A23 91A15 PDFBibTeX XMLCite \textit{S. Choukroun} et al., Stochastic Processes Appl. 125, No. 2, 597--633 (2015; Zbl 1325.60087) Full Text: DOI arXiv
Hamadène, S.; Morlais, M. A. Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem. (English) Zbl 1272.93130 Appl. Math. Optim. 67, No. 2, 163-196 (2013). MSC: 93E20 49L20 49J40 60H10 PDFBibTeX XMLCite \textit{S. Hamadène} and \textit{M. A. Morlais}, Appl. Math. Optim. 67, No. 2, 163--196 (2013; Zbl 1272.93130) Full Text: DOI arXiv
Bouchard, Bruno; Dang, Ngoc Minh Optimal control versus stochastic target problems: an equivalence result. (English) Zbl 1238.93124 Syst. Control Lett. 61, No. 2, 343-346 (2012). MSC: 93E20 49L25 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{N. M. Dang}, Syst. Control Lett. 61, No. 2, 343--346 (2012; Zbl 1238.93124) Full Text: DOI
Elie, Romuald; Kharroubi, Idris Probabilistic representation and approximation for coupled systems of variational inequalities. (English) Zbl 1194.93218 Stat. Probab. Lett. 80, No. 17-18, 1388-1396 (2010). MSC: 93E20 60H10 60H30 35K85 49L25 49J40 PDFBibTeX XMLCite \textit{R. Elie} and \textit{I. Kharroubi}, Stat. Probab. Lett. 80, No. 17--18, 1388--1396 (2010; Zbl 1194.93218) Full Text: DOI arXiv
Kharroubi, Idris; Ma, Jin; Pham, Huyên; Zhang, Jianfeng Backward SDEs with constrained jumps and quasi-variational inequalities. (English) Zbl 1205.60114 Ann. Probab. 38, No. 2, 794-840 (2010). Reviewer: Jacek Jakubowski (Warszawa) MSC: 60H10 60H30 35K86 60G55 PDFBibTeX XMLCite \textit{I. Kharroubi} et al., Ann. Probab. 38, No. 2, 794--840 (2010; Zbl 1205.60114) Full Text: DOI arXiv