SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations
12 references·11 citing·37 second hop
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations (2008)Stochastic optimization theory of backwar…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…Stochastic Hamilton–Jacobi–Bellman Equations (1992)Stochastic Hamilton–Jacobi–Be…Stochastic Differential Utility (1992)Stochastic Differential Utili…Asset Pricing with Stochastic Differential Utility (1992)Asset Pricing with Stochastic…A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)A Generalized dynamic program…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Learning Equilibrium Mean-Variance Strategy (2020)Learning Equilibrium Mean-Var…Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients (2020)Backward Stochastic Riccati E…Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps (2016)Multistep Schemes for Forward…Mean-field SDEs with jumps and nonlocal integral-PDEs (2016)Mean-field SDEs with jumps an…Controlled mean-field backward stochastic differential equations with jumps involving the value function (2016)Controlled mean-field backwar…Stochastic target games with controlled loss (2014)Stochastic target games with …Stochastic Differential Games for Fully Coupled FBSDEs with Jumps (2014)Stochastic Differential Games…Maximum principles for jump diffusion processes with infinite horizon (2013)Maximum principles for jump d…L p estimates for fully coupled FBSDEs with jumps (2013)L p estimates for fully coupl…Stochastic representation for solutions of Isaacs’ type integral–partial differential equations (2011)Stochastic representation for…Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions (2010)Relationship Between MP and D…Stochastic Differential Equations and Diffusion Processes (1983)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Mean-field backward stochastic differential equations and related partial differential equations (2009)An Introductory Approach to Duality in Optimal Stochastic Control (1978)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward-Forward Stochastic Differential Equations (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)Robust control and model misspecification (2006)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Maxmin expected utility with non-unique prior (1989)Robust Control and Model Uncertainty (2001)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)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)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Solution of forward-backward stochastic differential equations (1995)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Lp solutions of backward stochastic differential equations (2003)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1992Asset Pricing with Stochastic Differential Utility486 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation296 cited

Cited by

  • 2020Learning Equilibrium Mean-Variance Strategy41 cited
  • 2013Maximum principles for jump diffusion processes with infinite horizon38 cited
  • 2013L p estimates for fully coupled FBSDEs with jumps

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

37 cited
  • 2014Stochastic target games with controlled loss36 cited
  • 2011Stochastic representation for solutions of Isaacs’ type integral–partial differential equations36 cited
  • 2020Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients28 cited
  • 2016Mean-field SDEs with jumps and nonlocal integral-PDEs28 cited
  • 2010Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions24 cited
  • 2014Stochastic Differential Games for Fully Coupled FBSDEs with Jumps24 cited
  • 2016Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps24 cited
  • 2016Controlled mean-field backward stochastic differential equations with jumps involving the value function20 cited