SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
16 references·0 citing·35 second hop
Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (2012)Maximum Principle for Risk-Sensitive Stoc…Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2011)Jump-Diffusion Risk-Sensitive…A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications (2011)A risk-sensitive stochastic m…Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls (2010)Maximum Principles for a Clas…General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance (2009)General Maximum Principles fo…Risk sensitive stochastic control and differential games (2006)Risk sensitive stochastic con…A risk-sensitive stochastic control approach to an optimal investment problem with partial information (2006)A risk-sensitive stochastic c…A new risk-sensitive maximum principle (2005)A new risk-sensitive maximum …Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models (2003)Optimal Strategies for Risk-S…Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002)Risk-Sinsitive Dynamic Portfo…Stochastic Controls (1999)Stochastic ControlsRisk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset …Optimal long term growth rate of expected utility of wealth (1999)Optimal long term growth rate…Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions (1996)Minimum principle for partial…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…A risk-sensitive maximum principle (1990)A risk-sensitive maximum prin…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-sensitive portfolio optimization on infinite time horizon (2002)An Application of Stochastic Control Theory to Financial Economics (2004)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Risk‐Sensitive Control and an Optimal Investment Model (2000)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Mean‐Variance Portfolio Selection under Partial Information (2007)Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Controlled Diffusion Processes (1980)Option Pricing With Markov-Modulated Dynamics (2006)Brownian Motion and Stochastic Calculus (2007)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)Brownian Motion and Stochastic Calculus (1988)Stochastic Flows and Stochastic Differential Equations (1998)Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems With Different Information Structures-Part I: A General Theory (2016)Stochastic controls : Hamiltonian systems and HJB equations (1999)Risk-sensitive mean-field-type games with Lp -norm drifts (2015)Risk-Sensitive Zero-Sum Differential Games (2018)On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control (2006)Asymptotics of the probability minimizing a “down-side” risk (2010)Portfolios and risk premia for the long run (2012)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Backward Stochastic Differential Equations in Finance (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1999Stochastic Controls1,243 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon115 cited
  • 1990A risk-sensitive maximum principle112 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models91 cited
  • 1996Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions67 cited
  • 2005A new risk-sensitive maximum principle66 cited
  • 2009General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance38 cited
  • 2006Risk sensitive stochastic control and differential games37 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
  • 2006A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

32 cited
  • 2011A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications31 cited
  • Cited by

    No citing works inside the corpus for this window.