Two person zero sum differential games of survival are considered; these terminate as soon as the trajectory enters a given closed set F, at which time a cost or payoff is computed. One controller, or ...

Without resorting to dynamic programming, we determine the decumulation strategy for the holder of a defined contribution pension plan. We formulate this as a constrained stochastic optimal control ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...