BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations

[1]  Pauline Barrieu,et al.  Optimal design of derivatives in illiquid markets , 2002 .

[2]  H. Nagai,et al.  Risk-sensitive portfolio optimization on infinite time horizon , 2002 .

[3]  M. Kobylanski.  Backward stochastic differential equations and partial differential equations with quadratic growth , 2000 .

[4]  W. Fleming,et al.  Risk‐Sensitive Control and an Optimal Investment Model , 2000 .

[5]  F. Clarke,et al.  Nonlinear Analysis, Differential Equations and Control , 1999 .

[6]  É. Pardoux.  BSDEs, weak convergence and homogenization of semilinear PDEs , 1999 .

[7]  Jean-Pierre Lepeltier,et al.  Existence for BSDE with superlinear–quadratic coefficient , 1998 .

[8]  Ying Hu,et al.  Hedging contingent claims for a large investor in an incomplete market , 1998, Advances in Applied Probability.

[9]  William M. McEneaney,et al.  Risk-Sensitive and Robust Escape Criteria , 1997 .

[10]  A. Bensoussan,et al.  Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control , 1997 .

[11]  S. Peng,et al.  Backward Stochastic Differential Equations in Finance , 1997 .

[12]  Jakša Cvitanić,et al.  Backward stochastic differential equations with reflection and Dynkin games , 1996 .

[13]  H. Nagai.  Bellman Equations of Risk-Sensitive Control , 1996 .

[14]  Some results on risk-sensitive control with full observation , 1995, Proceedings of 1995 34th IEEE Conference on Decision and Control.

[15]  W. Fleming,et al.  Risk-Sensitive Control on an Infinite Time Horizon , 1995 .

[16]  Said Hamadène,et al.  Backward equations, stochastic control and zero-sum stochastic differential games , 1995 .

[17]  J. Lepeltier,et al.  Zero-sum stochastic differential games and backward equations , 1995 .

[18]  Alain Bensoussan,et al.  Some results on Risk-sensitive with full observation , 1995 .

[19]  S. Peng,et al.  Backward stochastic differential equations and quasilinear parabolic partial differential equations , 1992 .

[20]  Shige Peng,et al.  Probabilistic interpretation for systems of quasilinear parabolic partial differential equations , 1991 .

[21]  S. Peng,et al.  Adapted solution of a backward stochastic differential equation , 1990 .

[22]  An example of almost universally observable vector fields on P 1 R , 1990 .

[23]  M. Yor,et al.  Continuous martingales and Brownian motion , 1990 .

[24]  A. Bensoussan.  Perturbation Methods in Optimal Control , 1988 .

[25]  Ioannis Karatzas,et al.  Brownian Motion and Stochastic Calculus , 1987 .

[26]  P. Whittle.  Risk-sensitive linear/quadratic/gaussian control , 1981, Advances in Applied Probability.

[27]  D. Bertsekas,et al.  Dynamic Programming and Stochastic Control , 1977, IEEE Transactions on Systems, Man, and Cybernetics.

[28]  J. Lepeltier,et al.  Sur l'existence de politiques optimales dans le contrôle intégro-différentiel , 1977 .

[29]  P. Varaiya,et al.  Dynamic Programming Conditions for Partially Observable Stochastic Systems , 1973 .

[30]  Rhodes,et al.  Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games , 1973 .

[31]  V. Benes.  Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems , 1970 .

[32]  I. V. Girsanov.  On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures , 1960 .