SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information
16 references·1 citing·38 second hop
Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information (2017)Maximum Principles of Markov Regime-Switc…Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Malliavin Calculus for Lévy Processes with Applications to Finance (2008)Malliavin Calculus for Lévy P…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Risk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset …The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…Stochastic Differential Utility (1992)Stochastic Differential Utili…Nonexpected Utility in Macroeconomics (1990)Nonexpected Utility in Macroe…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …An Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Necessary Conditions for Cont…A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications (2017)A maximum principle for Marko…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)Mean field games (2007)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)An Intertemporal Capital Asset Pricing Model (1973)The equity premium: A puzzle (1985)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)Unequal Societies: Income Distribution and the Social Contract (2000)Public Debt and Low Interest Rates (2019)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)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)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)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)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
this work references cited by second hop

References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1999Stochastic Controls1,243 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2008Malliavin Calculus for Lévy Processes with Applications to Finance459 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems322 cited

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

  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • Cited by

    • 2017A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications17 cited