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New Developments in Backward Stochastic Riccati Equations and Their Applications
16 references·2 citing·35 second hop
New Developments in Backward Stochastic Riccati Equations and Their Applications (2001)New Developments in Backward Stochastic R…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Forward-backward stochastic d…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Stochastic Hamilton–Jacobi–Bellman Equations (1992)Stochastic Hamilton–Jacobi–Be…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Linear Quadratic Optimal Stochastic Control with Random Coefficients (1976)Linear Quadratic Optimal Stoc…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system (2021)Open-loop and closed-loop sol…Backward Stochastic Riccati Equations and Infinite Horizon L-Q Optimal Control with Infinite Dimensional State Space and Random Coefficients (2007)Backward Stochastic Riccati E…Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)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)Brownian Motion and Stochastic Calculus (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Stochastic Differential Equations and Diffusion Processes (1983)Solution of forward-backward stochastic differential equations (1995)Lp solutions of backward stochastic differential equations (2003)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Backward stochastic differential equations and integral-partial differential equations (1997)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward Stochastic Differential Equations in Finance (1997)Variance-Optimal Hedging in Discrete Time (1995)A solution approach to valuation with unhedgeable risks (2001)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Option hedging for semimartingales (1991)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
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  • 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II340 cited
  • 1976Linear Quadratic Optimal Stochastic Control with Random Coefficients338 cited
  • 1999

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs
329 cited
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • Cited by

    • 2007Backward Stochastic Riccati Equations and Infinite Horizon L-Q Optimal Control with Infinite Dimensional State Space and Random Coefficients22 cited
    • 2021Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system21 cited