Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

JOURNAL ARTICLE published January 2017 in SIAM Journal on Control and Optimization

Research funded by Division of Mathematical Sciences (DMS-1211906,DMS-0739195)

Authors: Maxim Bichuch | Ronnie Sircar

Slow Decay and Turnpike for Infinite-Horizon Hyperbolic Linear Quadratic Problems

JOURNAL ARTICLE published August 2022 in SIAM Journal on Control and Optimization

Research funded by H2020 Marie Skłodowska-Curie Actions (765579-ConFlex) | Horizon 2020 Framework Programme (694126-DyCon) | Ministerio de Economía, Industria y Competitividad, Gobierno de España (MTM2017-92996-C2- 1-R COSNET) | National Natural Science Foundation of China (NSFC-62073236)

Authors: Zhong-Jie Han | Enrique Zuazua

Stochastic Approximation Methods for Systems over an Infinite Horizon

JOURNAL ARTICLE published March 1996 in SIAM Journal on Control and Optimization

Authors: Harold J. Kushner | Felisa J. Vázquez-Abad

Nonlinear Optimal Control with Infinite Horizon for Distributed Parameter Systems and Stationary Hamilton–Jacobi Equations

JOURNAL ARTICLE published July 1989 in SIAM Journal on Control and Optimization

Authors: P. Cannarsa | G. da Prato

Linear-Quadratic Optimal Control of Differential-Algebraic Systems: The Infinite Time Horizon Problem with Zero Terminal State

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Research funded by Deutsche Forschungsgemeinschaft (315077451,289034702)

Authors: Timo Reis | Matthias Voigt

Relaxed Minimax Control

JOURNAL ARTICLE published July 1995 in SIAM Journal on Control and Optimization

Authors: E. N. Barron | R. Jensen

The linear-Quadratic Control Problem Revisited

JOURNAL ARTICLE published September 1995 in SIAM Journal on Control and Optimization

Authors: Tomasz R. Bielecki

Viability Solutions to Structured Hamilton–Jacobi Equations under Constraints

JOURNAL ARTICLE published January 2011 in SIAM Journal on Control and Optimization

Authors: Jean-Pierre Aubin

The Rendezvous Search Problem

JOURNAL ARTICLE published May 1995 in SIAM Journal on Control and Optimization

Authors: Steve Alpern

Infinite Horizon Optimal Control Problems with Discount Factor on the State, Part I: Analysis of the Controlled State Equation

JOURNAL ARTICLE published 30 June 2023 in SIAM Journal on Control and Optimization

Research funded by Ministerio de Ciencia, Innovación y Universidades (PID2020-114837GB-I00)

Authors: Eduardo Casas | Karl Kunisch

The Existence of Catching-Up Optimal Solutions for a Class of Infinite Horizon Optimal Control Problems with Time Delay

JOURNAL ARTICLE published March 1990 in SIAM Journal on Control and Optimization

Authors: Dean A. Carlson

Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case

JOURNAL ARTICLE published January 2020 in SIAM Journal on Control and Optimization

Authors: Enrico Biffis | Fausto Gozzi | Cecilia Prosdocimi

On Nonlinear Optimal Control Problems with State Constraints

JOURNAL ARTICLE published September 1995 in SIAM Journal on Control and Optimization

Authors: Monica Motta

The Global Control of Nonlinear Diffusion Equations

JOURNAL ARTICLE published January 1995 in SIAM Journal on Control and Optimization

Authors: J. E. Rubio

Risk-Sensitive Markov Control Processes

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: Yun Shen | Wilhelm Stannat | Klaus Obermayer

The Continuum-Armed Bandit Problem

JOURNAL ARTICLE published November 1995 in SIAM Journal on Control and Optimization

Authors: Rajeev Agrawal

Strong Stability in Variational Inequalities

JOURNAL ARTICLE published May 1995 in SIAM Journal on Control and Optimization

Authors: Jiming Liu

Control Time for Gravity-Capillary Waves on Water

JOURNAL ARTICLE published September 1995 in SIAM Journal on Control and Optimization

Authors: Russell M. Reid

Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Research funded by Republic of Cyprus (POST-DOC/0916/0139) | Academy of Finland (317726) | European Regional Development Fund (POST-DOC/0916/0139)

Authors: Ioannis Tzortzis | Charalambos D. Charalambous | Themistoklis Charalambous

Optimal Bounds for Numerical Approximations of Infinite Horizon Problems Based on Dynamic Programming Approach

JOURNAL ARTICLE published 30 April 2023 in SIAM Journal on Control and Optimization

Research funded by Ministerio de Economía, Industria y Competitividad, Gobierno de España (PID2019-104141GB-I00) | Federación Española de Enfermedades Raras (VA169P20)

Authors: Javier de Frutos | Julia Novo