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Optimal control of a jump process
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Optimal control of a jump process (1977)Optimal control of a jump processUn Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…The Optimal Control of a Stochastic System (1977)The Optimal Control of a Stoc…Optimal Control of Jump Processes (1977)Optimal Control of Jump Proce…The Representation of Martingales of Jump Processes (1976)The Representation of Marting…A Minimum Principle for Controlled Jump Processes (1975)A Minimum Principle for Contr…Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Dynamic Programming Condition…Near optimality conditions in stochastic control of jump diffusion processes (2011)Near optimality conditions in…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Existence of Optimal Controls for Stochastic Jump Processes (1979)Existence of Optimal Controls…Martingales on Jump Processes. I: Representation Results (1975)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Existence of Optimal Stochastic Control Laws (1971)The Maximum Principle for Optimal Control of Diffusions with Partial Information (1987)On Square Integrable Martingales (1967)Optimum consumption and portfolio rules in a continuous-time model (1971)An Invariance Principle in Large Population Stochastic Dynamic Games (2007)Control: A perspective (2014)Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems (1970)Stochastic Differential Equations (1972)Calcul Stochastique et Problèmes de Martingales (1979)Controlled Stochastic Processes (1979)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Partial Differential Equations (2010)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of Jump Diffusions (2007)On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls (2011)On necessary and sufficient conditions for near-optimal singular stochastic controls (2012)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Adapted solution of a backward stochastic differential equation (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)A stochastic maximum principle for systems with jumps, with applications to finance (2002)Introduction to the Theory of Random Processes (2002)Multiple Wiener Integral (1951)Complex Multiple Wiener Integral (1952)Martingale inequalities: seminar notes on recent progress (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Arbitrage Theory in Continuous Time (2004)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)
this work references cited by second hop

References

  • 2002Un Cours sur les Intégrales Stochastiques426 cited
  • 1973Dynamic Programming Conditions for Partially Observable Stochastic Systems225 cited
  • 1976The Representation of Martingales of Jump Processes137 cited
  • 1977Optimal Control of Jump Processes127 cited
  • 1977The Optimal Control of a Stochastic System56 cited
  • 1975A Minimum Principle for Controlled Jump Processes47 cited

Cited by

  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1979Existence of Optimal Controls for Stochastic Jump Processes26 cited
  • 2011Near optimality conditions in stochastic control of jump diffusion processes20 cited

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