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A Minimum Principle for Controlled Jump Processes

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References

2002Introduction to the Theory of Random Processes464 cited

Cited by

1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
1981Les Aspects Probabilistes Du Controle Stochastique448 cited
2002A stochastic maximum principle for systems with jumps, with applications to finance30 cited
1977Optimal control of a jump process28 cited
2013On mean-field stochastic maximum principle for near-optimal controls for Poisson jump diffusion with applications23 cited
2012On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem20 cited
1976Bang-bang controls of point processes19 cited
2016Optimal control of semi-Markov processes with a backward stochastic differential equations approach17 cited

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