The main objective of this book is to give an overview of the theory of Hamilton–Jacobi–
Bellman (HJB) partial differential equations (PDEs) in infinite-dimensional Hilbert spaces …

This review is an introduction to asymptotic methods for portfolio choice problems with small
transaction costs. We outline how to derive the corresponding dynamic programming …

We consider a stochastic control problem for a class of nonlinear kernels. More precisely,
our problem of interest consists in the optimization, over a set of possibly nondominated …

An investor trades a safe and several risky assets with linear price impact to maximize
expected utility from terminal wealth. In the limit for small impact costs, we explicitly …

We examine a continuous-time principal-agent problem under mean-volatility joint ambiguity
uncertainties. Both the principal and the agent exhibit Gilboa–Schmeidler's extreme …

We consider a continuous time stochastic optimal control problem under both equality and
inequality constraints on the expectation of some functionals of the controlled process …

We study a stochastic control/stopping problem with a series of inequality-type and equality-
type expectation constraints in a general non-Markovian framework. We demonstrate that …

This paper studies the dynamic programming principle using the measurable selection
method for stochastic control of continuous processes. The novelty of this work is to …

We show that pointwise limits of semistatic trading strategies in discrete time are again
semistatic strategies. The analysis is carried out in full generality for a two‐period model …

We solve the problem of optimal stopping of a Brownian motion subject to the constraint that
the stopping time's distribution is a given measure consisting of finitely many atoms. In …