Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications

By R. Carmona. 2016

215 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/534b42a515ef0309d60187329aebfaf6a3065775

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In Economics and Econometrics

1. Gonçalo dos Reis
2. Adrien Richou

Citations in the corpus

• Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics (2016, unknown): “Lions at Collège de France, see [22] and [10], and the recent books [6] and [11].”
• Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law (2017, background): “We also sharpen the integrability assumptions and leave it to the reader to verify that the proof in [7] can be sharpened.”