SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal control of semi-Markov processes with a backward stochastic differential equations approach
16 references·0 citing·35 second hop
Optimal control of semi-Markov processes with a backward stochastic differential equations approach (2016)Optimal control of semi-Markov processes …A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization (2014)A numerical algorithm for ful…Optimal high-frequency trading with limit and market orders (2012)Optimal high-frequency tradin…Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions (2010)Comparisons for backward stoc…Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)Reflected and doubly reflecte…Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Bounded solutions to backward…Backward stochastic differential equations with jumps and related non-linear expectations (2006)Backward stochastic different…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Markov Models & Optimization (1993)Markov Models & OptimizationOptimal control of piecewise deterministic markov process (1985)Optimal control of piecewise …Point Processes and Queues: Martingale Dynamics (Springer Series in Statistics) (1981)Point Processes and Queues: M…Point Processes and Queues (1981)Point Processes and QueuesOptimal Control of Jump Processes (1977)Optimal Control of Jump Proce…Martingales on Jump Processes. I: Representation Results (1975)Martingales on Jump Processes…Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Dynamic Programming Condition…Existence of Optimal Stochastic Control Laws (1971)Existence of Optimal Stochast…Stochastic Differential Equations and Diffusion Processes (1983)Adapted solution of a backward stochastic differential equation (1990)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Stochastic Differential Equations (2014)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Limit Theorems for Stochastic Processes (2003)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2008)An Introductory Approach to Duality in Optimal Stochastic Control (1978)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Square Integrable Martingales (1967)Les Aspects Probabilistes Du Controle Stochastique (1981)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Multiple Wiener Integral (1951)Dealership market (1980)Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Does Algorithmic Trading Improve Liquidity? (2011)Optimal execution with limit and market orders (2015)Incorporating order-flow into optimal execution (2016)Enhancing trading strategies with order book signals (2018)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BSDEs with jumps, optimization and applications to dynamic risk measures (2013)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Controlled diffusion models for optimal dividend pay-out (1997)Dynamic modeling and control of supply chain systems: A review (2007)Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Control: A perspective (2014)
this work references cited by second hop

References

  • 1981Point Processes and Queues1,652 cited
  • 1993Markov Models & Optimization888 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 2006Backward stochastic differential equations with jumps and related non-linear expectations259 cited
  • 1971Existence of Optimal Stochastic Control Laws246 cited
  • 1973Dynamic Programming Conditions for Partially Observable Stochastic Systems225 cited
  • 2006Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging193 cited
  • 2012Optimal high-frequency trading with limit and market orders184 cited
  • 1975Martingales on Jump Processes. I: Representation Results149 cited
  • 1977Optimal Control of Jump Processes127 cited
  • 1985Optimal control of piecewise deterministic markov process126 cited
  • 1981Point Processes and Queues: Martingale Dynamics (Springer Series in Statistics)108 cited
  • 2008Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison108 cited
  • 2014A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

89 cited
  • 2010Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions82 cited
  • Cited by

    No citing works inside the corpus for this window.