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A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance
16 references·0 citing·36 second hop
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References

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  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2008Malliavin Calculus for Lévy Processes with Applications to Finance459 cited
  • 2010Maximum principle for the stochastic optimal control problem with delay and application225 cited
  • 2012ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1203 cited
  • 2009Anticipated backward stochastic differential equations192 cited
  • 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations169 cited
  • 2007Mean‐Variance Portfolio Selection under Partial Information108 cited
  • 2001Optimal Portfolio in Partially Observed Stochastic Volatility Models99 cited
  • 2013Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises98 cited
  • 2010A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications94 cited
  • 2012The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls93 cited
  • 2010A stochastic control problem with delay arising in a pension fund model89 cited
  • 2012Forward–backward linear quadratic stochastic optimal control problem with delay59 cited

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  • 2008Maximum Principle for Stochastic Differential Games with Partial Information58 cited
  • 2013Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach45 cited
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