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Risk-sensitive control for a class of nonlinear systems with multiplicative noise
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
  • 2004Risk-Neutral Valuation199 cited
  • 1998Risk-Neutral Valuation158 cited
  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 1981On the optimal control of stochastic systems with an exponential-of-integral performance index78 cited
  • 2005A new risk-sensitive maximum principle66 cited
  • 2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
  • 2010Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls35 cited
  • 2011Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model33 cited
  • 2011A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications

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