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Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity
16 references·0 citing·38 second hop
Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity (2016)Stochastic Maximum Principle for Stochast…Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Ambiguous Volatility and Asse…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …On representation theorem of G-expectations and paths of G-Brownian motion (2009)On representation theorem of …Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…A dynamic maximum principle for the optimization of recursive utilities under constraints (2001)A dynamic maximum principle f…The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations (1998)The Maximum Principle for Par…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Continuous-time security pricing (1994)Continuous-time security pric…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…Stochastic Differential Utility (1992)Stochastic Differential Utili…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …An Introductory Approach to Duality in Optimal Stochastic Control (1978)Backward-Forward Stochastic Differential Equations (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Continuous Martingales and Brownian Motion (1999)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Robust hedging of the lookback option (1998)A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Maxmin expected utility with non-unique prior (1989)Robust Control and Model Uncertainty (2001)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)
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References

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  • 1993Backward stochastic differential equations and applications to optimal control401 cited
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  • 2009On representation theorem of G-expectations and paths of G-Brownian motion179 cited
  • 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

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169 cited
  • 2001A dynamic maximum principle for the optimization of recursive utilities under constraints155 cited
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