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On the Maximum Principle for Optimal Control Problems of Stochastic Volterra Integral Equations with Delay
10 references·0 citing·31 second hop
On the Maximum Principle for Optimal Control Problems of Stochastic Volterra Integral Equations with Delay (2023)On the Maximum Principle for Optimal Cont…Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation (2021)Linear-quadratic control for …Sufficient Stochastic Maximum Principle for Discounted Control Problem (2014)Sufficient Stochastic Maximum…Fractional stochastic differential equations with applications to finance (2012)Fractional stochastic differe…ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)ANTICIPATED BACKWARD STOCHAST…Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)Optimal control of stochastic…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…Stochastic Controls (1999)Stochastic ControlsA General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …An Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…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)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Adapted solution of a backward stochastic differential equation (1990)Stochastic controls : Hamiltonian systems and HJB equations (1999)Backward Stochastic Differential Equations in Finance (1997)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)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Diffusion processes with continuous coefficients, I (1969)Linear Quadratic Optimal Stochastic Control with Random Coefficients (1976)A Mathematical Theory of Saving (1928)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Fractional Brownian Motions, Fractional Noises and Applications (1968)Theory and applications of long-range dependence (2003)The Malliavin Calculus and Related Topics (2006)Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function (2017)Stochastic Differential Equations and Diffusion Processes (1983)Applied Stochastic Control of Jump Diffusions (2005)A Stochastic Portfolio Optimization Model with Bounded Memory (2011)A Maximum Principle for Infinite Horizon Delay Equations (2013)Stochastic Maximum Principle for Optimal Control of SPDEs (2013)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)The stochastic Fubini theorem revisited (2011)Volatility Is Rough (2018)Volatility Models in Practice: Rough, Path‐Dependent, or Markovian? (2025)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)
this work references cited by second hop

References

  • 1999Stochastic Controls2,643 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 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
  • 2011Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations113 cited
  • 2012Fractional stochastic differential equations with applications to finance104 cited
  • 2021Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation35 cited
  • 2014Sufficient Stochastic Maximum Principle for Discounted Control Problem26 cited

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