검색결과 : 10건
| No. | Article |
|---|---|
| 1 |
VISCOSITY SOLUTIONS FOR CONTROLLED MCKEAN-VLASOV JUMP-DIFFUSIONS Burzoni M, Ignazio V, Reppen AM, Soner HM SIAM Journal on Control and Optimization, 58(3), 1676, 2020 |
| 2 |
SECOND-ORDER STOCHASTIC TARGET PROBLEMS WITH GENERALIZED MARKET IMPACT Bouchard B, Loeper G, Soner HM, Zhou C SIAM Journal on Control and Optimization, 57(6), 4125, 2019 |
| 3 |
OPTIMAL CONSUMPTION AND INVESTMENT WITH FIXED AND PROPORTIONAL TRANSACTION COSTS Altarovici A, Reppen M, Soner HM SIAM Journal on Control and Optimization, 55(3), 1673, 2017 |
| 4 |
HOMOGENIZATION AND ASYMPTOTICS FOR SMALL TRANSACTION COSTS Soner HM, Touzi N SIAM Journal on Control and Optimization, 51(4), 2893, 2013 |
| 5 |
THE DYNAMIC PROGRAMMING EQUATION FOR SECOND ORDER STOCHASTIC TARGET PROBLEMS Soner HM, Touzi N SIAM Journal on Control and Optimization, 48(4), 2344, 2009 |
| 6 |
The dynamic programming equation for the problem of optimal investment under capital gains taxes Ben Tahar I, Soner HM, Touzi N SIAM Journal on Control and Optimization, 46(5), 1779, 2007 |
| 7 |
Stochastic control for a class of random evolution models Hongler MO, Soner HM, Streit L Applied Mathematics and Optimization, 49(2), 113, 2004 |
| 8 |
Stochastic target problems, dynamic programming, and viscosity solutions Soner HM, Touzi N SIAM Journal on Control and Optimization, 41(2), 404, 2002 |
| 9 |
Superreplication under gamma constraints Soner HM, Touzi N SIAM Journal on Control and Optimization, 39(1), 73, 2000 |
| 10 |
Heavy Traffic Convergence of a Controlled, Multiclass Queuing System Martins LF, Shreve SE, Soner HM SIAM Journal on Control and Optimization, 34(6), 2133, 1996 |