{"id":"https://openalex.org/W2597479925","doi":"https://doi.org/10.1137/16m1075983","title":"First Order BSPDEs in Higher Dimension for Optimal Control Problems","display_name":"First Order BSPDEs in Higher Dimension for Optimal Control Problems","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2597479925","doi":"https://doi.org/10.1137/16m1075983","mag":"2597479925"},"language":"en","primary_location":{"id":"doi:10.1137/16m1075983","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1075983","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5031418059","display_name":"Nikolai Dokuchaev","orcid":"https://orcid.org/0000-0002-9951-8904"},"institutions":[{"id":"https://openalex.org/I205640436","display_name":"Curtin University","ror":"https://ror.org/02n415q13","country_code":"AU","type":"education","lineage":["https://openalex.org/I205640436"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Nikolai Dokuchaev","raw_affiliation_strings":["School of Electrical Engineering, Computing and Mathematical Sciences, Curtin University, GPO Box U1987, Perth, 6845 Western Australia,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Electrical Engineering, Computing and Mathematical Sciences, Curtin University, GPO Box U1987, Perth, 6845 Western Australia,","institution_ids":["https://openalex.org/I205640436"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5031418059"],"corresponding_institution_ids":["https://openalex.org/I205640436"],"apc_list":null,"apc_paid":null,"fwci":0.687,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.73894356,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"55","issue":"2","first_page":"818","last_page":"834"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9873999953269958,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8477486968040466},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.7808983325958252},{"id":"https://openalex.org/keywords/dimension","display_name":"Dimension (graph theory)","score":0.6825472712516785},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.6186720132827759},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.588404655456543},{"id":"https://openalex.org/keywords/domain","display_name":"Domain (mathematical analysis)","score":0.5878568887710571},{"id":"https://openalex.org/keywords/stochastic-partial-differential-equation","display_name":"Stochastic partial differential equation","score":0.5845206379890442},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5490874648094177},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5307013392448425},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.4842481315135956},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.4398065507411957},{"id":"https://openalex.org/keywords/boundary-value-problem","display_name":"Boundary value problem","score":0.42979300022125244},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi-equation","display_name":"Hamilton\u2013Jacobi equation","score":0.42041948437690735},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.35110461711883545},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.33990830183029175},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.14302584528923035}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8477486968040466},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.7808983325958252},{"id":"https://openalex.org/C33676613","wikidata":"https://www.wikidata.org/wiki/Q13415176","display_name":"Dimension (graph theory)","level":2,"score":0.6825472712516785},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.6186720132827759},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.588404655456543},{"id":"https://openalex.org/C36503486","wikidata":"https://www.wikidata.org/wiki/Q11235244","display_name":"Domain (mathematical analysis)","level":2,"score":0.5878568887710571},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.5845206379890442},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5490874648094177},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5307013392448425},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.4842481315135956},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4398065507411957},{"id":"https://openalex.org/C182310444","wikidata":"https://www.wikidata.org/wiki/Q1332643","display_name":"Boundary value problem","level":2,"score":0.42979300022125244},{"id":"https://openalex.org/C2778860007","wikidata":"https://www.wikidata.org/wiki/Q1060137","display_name":"Hamilton\u2013Jacobi equation","level":2,"score":0.42041948437690735},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.35110461711883545},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.33990830183029175},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.14302584528923035},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/16m1075983","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1075983","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:espace.curtin.edu.au:20.500.11937/53664","is_oa":false,"landing_page_url":"http://hdl.handle.net/20.500.11937/53664","pdf_url":null,"source":{"id":"https://openalex.org/S4306401790","display_name":"eSpace (Curtin University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205640436","host_organization_name":"Curtin University","host_organization_lineage":["https://openalex.org/I205640436"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3442346014","display_name":"Improving risk management based on short-term stochastic forecast for financial decisions","funder_award_id":"DP120100928","funder_id":"https://openalex.org/F4320334704","funder_display_name":"Australian Research Council"}],"funders":[{"id":"https://openalex.org/F4320334704","display_name":"Australian Research Council","ror":"https://ror.org/05mmh0f86"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":40,"referenced_works":["https://openalex.org/W1963932485","https://openalex.org/W1964610453","https://openalex.org/W1971165564","https://openalex.org/W1972337987","https://openalex.org/W1974603115","https://openalex.org/W1974829088","https://openalex.org/W1988868948","https://openalex.org/W1989603443","https://openalex.org/W1991750711","https://openalex.org/W1999004431","https://openalex.org/W2003974174","https://openalex.org/W2011592099","https://openalex.org/W2024029539","https://openalex.org/W2027695042","https://openalex.org/W2032680599","https://openalex.org/W2034554132","https://openalex.org/W2040649804","https://openalex.org/W2043774937","https://openalex.org/W2061909553","https://openalex.org/W2062827574","https://openalex.org/W2062939296","https://openalex.org/W2084202582","https://openalex.org/W2085497253","https://openalex.org/W2086139156","https://openalex.org/W2114117107","https://openalex.org/W2135212109","https://openalex.org/W2137824542","https://openalex.org/W2151786492","https://openalex.org/W2156040550","https://openalex.org/W2163825837","https://openalex.org/W2167742035","https://openalex.org/W2171988420","https://openalex.org/W2525902322","https://openalex.org/W2749408143","https://openalex.org/W2962683306","https://openalex.org/W2963028751","https://openalex.org/W2964119001","https://openalex.org/W3100438937","https://openalex.org/W3122113998","https://openalex.org/W4255499372"],"related_works":["https://openalex.org/W1985696076","https://openalex.org/W1977330547","https://openalex.org/W1974495512","https://openalex.org/W4226406511","https://openalex.org/W4390746698","https://openalex.org/W4286890456","https://openalex.org/W2061850819","https://openalex.org/W2155501953","https://openalex.org/W1996243804","https://openalex.org/W2061585064"],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"the":[3,35,47],"first":[4],"order":[5],"backward":[6],"stochastic":[7,39,54],"partial":[8],"differential":[9,55],"equations":[10,24,29,56],"suggested":[11],"earlier":[12],"for":[13,38],"a":[14,21,58,62],"case":[15],"of":[16,27,57],"multidimensional":[17],"state":[18],"domain":[19],"with":[20,43,61],"boundary.":[22],"These":[23],"represent":[25],"analogues":[26],"Hamilton--Jacobi--Bellman":[28],"and":[30],"allow":[31],"one":[32],"to":[33],"construct":[34],"value":[36],"function":[37],"optimal":[40],"control":[41],"problems":[42,66],"unspecified":[44],"dynamics":[45],"where":[46],"underlying":[48],"processes":[49],"do":[50],"not":[51],"necessarily":[52],"satisfy":[53],"known":[59],"kind":[60],"given":[63],"structure.":[64],"The":[65],"considered":[67],"arise":[68],"in":[69],"financial":[70],"modeling.":[71]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
