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Maximum Principle for Stochastic Differential Games with Partial Information
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Maximum Principle for Stochastic Differential Games with Partial Information (2008)Maximum Principle for Stochastic Differen…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…A Maximum Principle for Stochastic Control with Partial Information (2007)A Maximum Principle for Stoch…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance (2004)Sufficient Stochastic Maximum…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations (1998)The Maximum Principle for Par…Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)Maximum principle and dynamic…Maximum principle for discrete-time stochastic optimal control problem and stochastic game (2021)Maximum principle for discret…A maximum principle for stochastic differential games with g-expectations and partial information (2011)A maximum principle for stoch…Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls (2010)Maximum Principles for a Clas…A General Stochastic Maximum Principle for Optimal Control Problems (1990)Adapted solution of a backward stochastic differential equation (1990)Stochastic Flows and Stochastic Differential Equations (1998)The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information (2009)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)A mean-field stochastic maximum principle via Malliavin calculus (2012)Convex measures of risk and trading constraints (2002)Stochastic partial differential equations and filtering of diffusion processes (1980)Backward stochastic differential equations and integral-partial differential equations (1997)Stochastic Controls (1999)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Risk‐Sensitive Control and an Optimal Investment Model (2000)The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps (2011)Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (2012)Risk-sensitive control for a class of nonlinear systems with multiplicative noise (2013)A general maximum principle for optimal control of forward–backward stochastic systems (2013)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)Maximum principle for discrete-time stochastic control problem of mean-field type (2022)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)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)Maximum Principle for Partially-Observed Optimal Control of Fully-Coupled Forward-Backward Stochastic Systems (2010)Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models (2013)Linear-quadratic stochastic Stackelberg differential game with asymmetric information (2017)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)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions177 cited
  • 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations169 cited
  • 2004Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance160 cited
  • 2007A Maximum Principle for Stochastic Control with Partial Information110 cited

Cited by

  • 2010Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls35 cited
  • 2021Maximum principle for discrete-time stochastic optimal control problem and stochastic game30 cited
  • 2011A maximum principle for stochastic differential games with g-expectations and partial information25 cited

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