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Stochastic control with rough paths
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/0-387-31071-1openalex-snapshot
Controlled Markov Processes and Viscosity Solutions
inferredcites →https://doi.org/10.1007/978-0-8176-4755-1openalex-snapshot
Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations
inferredcites →https://doi.org/10.1007/978-1-4612-1466-3openalex-snapshot
Stochastic controls : Hamiltonian systems and HJB equations
inferredcites →https://doi.org/10.1007/978-1-4612-6051-6openalex-snapshot
Controlled Diffusion Processes
inferredcites →https://doi.org/10.1007/978-3-030-41556-3openalex-snapshot
A Course on Rough Paths: With an Introduction to Regularity Structures
inferredcites →https://doi.org/10.1007/978-3-319-11292-3_8openalex-snapshot
Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited
inferredcites →https://doi.org/10.1007/978-3-540-71285-5openalex-snapshot
Differential Equations Driven by Rough Paths
inferredcites →https://doi.org/10.1007/978-3-540-71285-5_5openalex-snapshot
Differential Equations Driven by Rough Paths
inferredcites →https://doi.org/10.1007/978-3-642-46317-4_26openalex-snapshot
On the Relation between Stochastic and Deterministic Optimization
inferredcites →https://doi.org/10.1007/bf00353876openalex-snapshot
Stochastic calculus with anticipating integrands
inferredcites →https://doi.org/10.1007/s004400050264openalex-snapshot
On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficients
inferredcites →https://doi.org/10.1016/j.anihpc.2010.11.002openalex-snapshot
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
inferredcites →https://doi.org/10.1016/s0764-4442(00)00583-8openalex-snapshot
Fully nonlinear stochastic pde with semilinear stochastic dependence
inferredcites →https://doi.org/10.1016/s0764-4442(98)80161-4openalex-snapshot
Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
inferredcites →https://doi.org/10.1017/cbo9780511845079openalex-snapshot
Multidimensional Stochastic Processes as Rough Paths
inferredcites →https://doi.org/10.1051/m2an:2002002openalex-snapshot
On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
inferredcites →https://doi.org/10.1080/17442509208833790openalex-snapshot
A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
inferredcites →https://doi.org/10.1080/17442509408833914openalex-snapshot
Controlled markov processes and viscosity solutions
inferredcites →https://doi.org/10.1093/acprof:oso/9780198506485.001.0001openalex-snapshot
System Control and Rough Paths
inferredcites →https://doi.org/10.1111/1467-9965.02010openalex-snapshot
Monte Carlo valuation of American options
inferredcites →https://doi.org/10.1137/050642885openalex-snapshot
Pathwise Stochastic Optimal Control
inferredcites →https://doi.org/10.1137/120877283openalex-snapshot
Linear-Quadratic Fractional Gaussian Control
inferredcites →https://doi.org/10.1137/s036301290444335xopenalex-snapshot
Pathwise Stochastic Control Problems and Stochastic HJB Equations
inferredcites →https://doi.org/10.1142/s021949370800224xopenalex-snapshot
OPTIMAL CONTROL FOR ROUGH DIFFERENTIAL EQUATIONS
inferredcites →https://doi.org/10.1214/009117906000000827openalex-snapshot
Good rough path sequences and applications to anticipating stochastic calculus
inferredcites →https://doi.org/10.1214/12-aap896openalex-snapshot
Robust filtering: Correlated noise and multidimensional observation
inferredcites →https://doi.org/10.1214/aop/1176995608openalex-snapshot
On the Gap Between Deterministic and Stochastic Ordinary Differential Equations
inferredcites →https://doi.org/10.1287/opre.1030.0070openalex-snapshot
Pricing American Options: A Duality Approach
inferredcites →https://doi.org/10.1287/opre.1090.0796openalex-snapshot
Information Relaxations and Duality in Stochastic Dynamic Programs
inferredcites →https://doi.org/10.14279/depositonce-3180openalex-snapshot
Topics in stochastic differential equations and rough path theory
inferredcites →https://doi.org/10.4171/rmi/240openalex-snapshot
Differential equations driven by rough signals
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.2598529openalex-extracted
A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA
inferred← citeshttps://doi.org/10.1007/978-3-032-03914-9_2openalex-snapshot
Randomisation of Rough Stochastic Differential Equations
inferred← citeshttps://doi.org/10.1007/978-3-319-41589-5_15openalex-snapshot
Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering
inferred← citeshttps://doi.org/10.1007/s00498-026-00439-xopenalex-snapshot
Robustness of optimal controlled diffusions with near-Brownian noise via rough paths theory
inferred← citeshttps://doi.org/10.1007/s10957-024-02553-9openalex-snapshot
Pathwise Stochastic Control and a Class of Stochastic Partial Differential Equations
inferred← citeshttps://doi.org/10.1016/j.spa.2026.104874openalex-snapshot
Reflected backward stochastic differential equations with rough drivers
inferred← citeshttps://doi.org/10.1080/02331934.2023.2249005openalex-snapshot
Power utility maximization problem under rough stochastic local volatility models with continuous-time Markov chain approximation
inferred← citeshttps://doi.org/10.1137/15m1019945openalex-snapshot
A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA
inferred← citeshttps://doi.org/10.1137/18m1217243openalex-snapshot
Portfolio Optimization in Fractional and Rough Heston Models
inferred← citeshttps://doi.org/10.1137/21m1464543openalex-snapshot
Utility Maximization in Multivariate Volterra Models
inferred← citeshttps://doi.org/10.1137/24m1667671openalex-snapshot
Stochastic Control with Signatures
inferred← citeshttps://doi.org/10.1186/s41546-020-00049-8openalex-snapshot
Fully nonlinear stochastic and rough PDEs: Classical and viscosity solutions
inferred← citeshttps://doi.org/10.1214/19-aap1558openalex-snapshot
Pathwise stochastic control with applications to robust filtering
inferred← citeshttps://doi.org/10.1214/21-ejp633openalex-snapshot
Robust filtering and propagation of uncertainty in hidden Markov models
inferred← citeshttps://doi.org/10.1214/25-ejp1381openalex-snapshot
Functional differential equations driven by càdlàg rough paths
inferred← citeshttps://doi.org/10.48550/arxiv.1909.02972openalex-snapshot
Portfolio optimisation under rough Heston models
inferred← citeshttps://doi.org/10.70675/c0d7c92fz028ez4e20z8ad4zbf21d7e962d1openalex-snapshot
Chemins rugueux issus de processus discrets
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