SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Singular mean-field optimal control for forward-backward stochastic systems and applications to finance
16 references·2 citing·35 second hop
Singular mean-field optimal control for forward-backward stochastic systems and applications to finance (2014)Singular mean-field optimal control for f…A general maximum principle for optimal control of forward–backward stochastic systems (2013)A general maximum principle f…A mean-field stochastic maximum principle via Malliavin calculus (2012)A mean-field stochastic maxim…Stochastic maximum principle in the mean-field controls (2011)Stochastic maximum principle …A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)A General Stochastic Maximum …Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions (2010)Optimality Variational Princi…A Maximum Principle for SDEs of Mean-Field Type (2010)A Maximum Principle for SDEs …Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochasti…Mean field games (2007)Mean field gamesForward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…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…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Impulse Control Method and Exchange Rate (1993)Impulse Control Method and Ex…Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Optimal portfolio for a small…On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions (2018)On optimal singular control p…On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures (2015)On partial-information optima…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Adapted solution of a backward stochastic differential equation (1990)Continuous Martingales and Brownian Motion (1999)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic Controls (1999)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Mean Field Games and Applications (2010)Impulse Control of Brownian Motion (1983)Continuous Martingales and Brownian Motion (1991)Target Zones and Exchange Rate Dynamics (1991)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area (2010)The Pricing Behaviour of Firms in the Euro Area: New Survey Evidence (2010)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Probabilistic Analysis of Mean-Field Games (2013)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)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)
this work references cited by second hop

References

  • 2007Mean field games2,785 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1994Controlled markov processes and viscosity solutions1,058 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2005Applied Stochastic Control of Jump Diffusions905 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications692 cited
  • 2009Mean-field backward stochastic differential equations and related partial differential equations351 cited
  • 2010A Maximum Principle for SDEs of Mean-Field Type346 cited
  • 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type293 cited
  • 1993Impulse Control Method and Exchange Rate270 cited
  • 2004Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance160 cited
  • 2012A mean-field stochastic maximum principle via Malliavin calculus155 cited
  • 2011Stochastic maximum principle in the mean-field controls149 cited
  • 1990Optimal portfolio for a small investor in a market model with discontinuous prices140 cited
  • 2010Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

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

139 cited
  • 2013A general maximum principle for optimal control of forward–backward stochastic systems133 cited
  • Cited by

    • 2018On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions17 cited
    • 2015On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures17 cited