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Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433
Persistent link: https://www.econbiz.de/10012242504
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Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790
Persistent link: https://www.econbiz.de/10014329362
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Robust MDPs with k-rectangular uncertainty
Mannor, Shie; Mebel, Ofir; Xu, Huan - In: Mathematics of operations research 41 (2016) 4, pp. 1484-1509
Persistent link: https://www.econbiz.de/10011595106
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Calculating principal eigen-functions of non-negative integral kernels : particle approximations and applications
Whiteley, Nick; Kantas, Nikolas - In: Mathematics of operations research 42 (2017) 4, pp. 1007-1034
Persistent link: https://www.econbiz.de/10011773301
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Hamilton-Jacobi equations with semilinear costs and state constraints, with applications to large deviations in games
Sandholm, William H.; Tran, Hung V.; Arigapudi, Srinivas - In: Mathematics of operations research 47 (2022) 1, pp. 72-99
Persistent link: https://www.econbiz.de/10013364853
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Risk-averse optimal control in continuous time by nesting risk measures
Pichler, Alois; Schlotter, Ruben - In: Mathematics of operations research 48 (2023) 3, pp. 1657-1678
Persistent link: https://www.econbiz.de/10014329353