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Necessary and sufficient conditions of risk‐sensitive optimal control and differential games for stochastic differential delayed equations
16 references·0 citing·30 second hop
Necessary and sufficient conditions of risk‐sensitive optimal control and differential games for stochastic differential delayed equations (2019)Necessary and sufficient conditions of ri…Risk-Sensitive Zero-Sum Differential Games (2018)Risk-Sensitive Zero-Sum Diffe…Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks (2017)Stochastic Optimal Control wi…Stochastic Optimal Control in Infinite Dimension (2017)Stochastic Optimal Control in…Linear Exponential Quadratic Stochastic Differential Games (2015)Linear Exponential Quadratic …Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays (2014)Maximum Principle for Nonzero…The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)The stochastic maximum princi…Forward–backward linear quadratic stochastic optimal control problem with delay (2012)Forward–backward linear quadr…ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)ANTICIPATED BACKWARD STOCHAST…Maximum principle for the stochastic optimal control problem with delay and application (2010)Maximum principle for the sto…Anticipated backward stochastic differential equations (2009)Anticipated backward stochast…When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional? (2003)When Are HJB-Equations in Sto…Dynamic programming in stochastic control of systems with delay (2002)Dynamic programming in stocha…Stochastic Controls (1999)Stochastic ControlsNash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games (1999)Nash Equilibria of Risk-Sensi…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Dynamic Noncooperative Game Theory (1982)Dynamic Noncooperative Game T…Dynamic Noncooperative Game Theory, 2nd Edition (1998)Controlled Markov Processes and Viscosity Solutions (2005)Robust Mean Field Games with Application to Production of an Exhaustible Resource (2012)Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models (2014)A Mathematical Theory of Saving (1928)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach (2014)A leader-follower stochastic linear quadratic differential game with time delay (2018)Linear–Quadratic Mean-Field Game for Stochastic Delayed Systems (2018)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Optimal Control of Delay Equations Arising in Advertising Models (2005)Brownian Motion and Stochastic Calculus (2007)A stochastic control problem with delay arising in a pension fund model (2010)The Voracity Effect (1999)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Coalitional game theory for communication networks (2009)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Systemic Risk and Stochastic Games with Delay (2018)Zero-sum stochastic differential games of generalized McKean–Vlasov type (2018)Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty (2021)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)5 Stochastic volatility (1996)Modeling and Forecasting Realized Volatility (2003)
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  • 2017Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks28 cited
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