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A stochastic linear–quadratic problem with Lévy processes and its application to finance
16 references·1 citing·25 second hop
A stochastic linear–quadratic problem with Lévy processes and its application to finance (2007)A stochastic linear–quadratic problem wit…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Multidimensional Backward Stochastic Riccati Equations and Applications (2003)Multidimensional Backward Sto…Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging (2002)Global adapted solution of on…BSDE associated with Lévy processes and application to PDIE (2002)BSDE associated with Lévy pro…Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Backward Stochastic Different…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Relationship Between Backward…Chaotic and predictable representations for Lévy processes (2000)Chaotic and predictable repre…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…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…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Linear Quadratic Optimal Stochastic Control with Random Coefficients (1976)Linear Quadratic Optimal Stoc…Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes (2009)Necessary and sufficient cond…A General Stochastic Maximum Principle for Optimal Control Problems (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)Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Brownian Motion and Stochastic Calculus (2007)Controlled Diffusion Processes (1980)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)Stochastic Controls (1999)Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)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)Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)$\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents (2013)
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References

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  • 2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited

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  • 2003Multidimensional Backward Stochastic Riccati Equations and Applications81 cited
  • 2002BSDE associated with Lévy processes and application to PDIE59 cited
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    • 2009Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes27 cited