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The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
3 references·1 citing·15 second hop
The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps (2020)The Maximum Principle for Progressive Opt…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System (2023)Stochastic Linear-Quadratic O…An Introductory Approach to Duality in Optimal Stochastic Control (1978)Adapted solution of a backward stochastic differential equation (1990)Backward-Forward Stochastic Differential Equations (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Stochastic Differential Equations and Diffusion Processes (1981)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Backward Stochastic Differential Equations in Finance (1997)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Controls (1999)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Backward stochastic differential equations and integral-partial differential equations (1997)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)
this work references cited by second hop

References

  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited

Cited by

  • 2023Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System20 cited

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