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Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
16 references·0 citing·33 second hop
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps (2015)Recursive stochastic linear-quadratic opt…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Fully Coupled Forward-Backwar…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Solution of forward-backward stochastic differential equations (1995)Solution of forward-backward …Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Backward-Forward Stochastic Differential Equations (1993)Backward-Forward Stochastic D…Stochastic Differential Utility (1992)Stochastic Differential Utili…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Brownian Motion and Stochastic Calculus (2007)Controlled Diffusion Processes (1980)Stochastic Integration and Differential Equations (1990)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward stochastic differential equations and integral-partial differential equations (1997)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Brownian Motion and Stochastic Calculus. (1989)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Stochastic Integration and Differential Equations : A New Approach (2014)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Optimal high-frequency trading with limit and market orders (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)
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References

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2005Applied Stochastic Control of Jump Diffusions904 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control494 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1995Solution of forward-backward stochastic differential equations402 cited
  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
  • 1993Backward-Forward Stochastic Differential Equations

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345 cited
  • 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II340 cited
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