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Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions
16 references·1 citing·33 second hop
Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions (2010)Relationship Between MP and DPP for the S…Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes (2009)Viscosity Solutions for a Sys…Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations (2008)Stochastic optimization theor…Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering (2005)Theory of Stochastic Differen…Theory of Stochastic Differential Equations with Jumps and Applications (2005)Theory of Stochastic Differen…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…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Stochastic Verification Theorems within the Framework of Viscosity Solutions (1997)Stochastic Verification Theor…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…Stochastic Differential Systems, Stochastic Control Theory and Applications (1988)Stochastic Differential Syste…Optimal Control with State-Space Constraint. II (1986)Optimal Control with State-Sp…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Lectures in stochastic control (1983)Lectures in stochastic controlAn Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case (2017)Connection between MP and DPP…Adapted solution of a backward stochastic differential equation (1990)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)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Controlled Diffusion Processes (1980)Stochastic Control by Functional Analysis Methods (1982)Adapted solution of a backward semilinear stochastic evolution equation (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Stochastic maximum principle in the mean-field controls (2011)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Discontinuous solutions of deterministic optimal stopping time problems (1987)A model of optimal portfolio selection under liquidity risk and price impact (2006)Optimality results for dividend problems in insurance (2009)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)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Backward stochastic differential equations and applications to optimal control (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)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)Numerical simulations and modeling for stochastic biological systems with jumps (2013)BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2015)Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space (2015)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

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2008
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations
56 cited
  • 1997Stochastic Verification Theorems within the Framework of Viscosity Solutions51 cited
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    • 2017Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case22 cited