Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients

15 references·1 citing·37 second hop

FromToDepth

this work references cited by second hop

References

2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
1976Linear Quadratic Optimal Stochastic Control with Random Coefficients338 cited
1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
2003General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations172 cited
1985Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group108 cited
2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited
2003Multidimensional Backward Stochastic Riccati Equations and Applications81 cited
2015Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients65 cited
2008Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations56 cited
2003Minimization of Risk and Linear Quadratic Optimal Control Theory52 cited
2008Partial Information Linear Quadratic Control for Jump Diffusions45 cited
2013Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations37 cited

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

2017

Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations

30 cited

2013General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients30 cited

Cited by

2021Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems26 cited