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On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem
16 references·0 citing·35 second hop
On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem (2012)On Maximum Principle of Near-optimality f…Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Discrete-time approximation o…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…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…A stochastic maximum principle for systems with jumps, with applications to finance (2002)A stochastic maximum principl…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality (1998)Stochastic Near-Optimal Contr…The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)The Stochastic Maximum Princi…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…The optimal control of diffusions (1990)The optimal control of diffus…Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Optimal portfolio for a small…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Lectures in stochastic control (1983)Lectures in stochastic controlLectures on stochastic control (1982)Lectures on stochastic controlA Minimum Principle for Controlled Jump Processes (1975)A Minimum Principle for Contr…A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward stochastic differential equations and integral-partial differential equations (1997)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)A Maximum Principle for SDEs of Mean-Field Type (2010)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Adapted solution of a backward stochastic differential equation (1990)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Portfolio Selection with Transaction Costs (1990)Strategic Asset Allocation (2002)Brownian Motion and Stochastic Calculus (2007)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Stochastic Integration and Differential Equations (2005)The Malliavin Calculus and Related Topics (2006)Smart expansion and fast calibration for jump diffusions (2009)Least-Squares Monte Carlo for Backward SDEs (2012)A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)Controlled Diffusion Processes (1980)Stochastic Control by Functional Analysis Methods (1982)Backward stochastic differential equations and applications to optimal control (1993)On Square Integrable Martingales (1967)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)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)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)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)
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  • 2002A stochastic maximum principle for systems with jumps, with applications to finance30 cited
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