Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields-Reference-Cited by-同舟云学术

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Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields

Published:2005-08 Issue:5 Volume:77 Page:381-399
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Øksendal Bernt¹²,Proske Frank¹,Zhang Tusheng²³

Affiliation:

1. a University of Oslo, CMA, Department of Mathematics , P.O. Box 1053 , Blindern, N-316, Oslo , Norway

2. b Norwegian School of Economics and Business Administration , Helleveien 30, N-5045, Bergen , Norway

3. c University of Manchester, Department of Mathematics , Oxford Road, Manchester M13 9PL, England , UK

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442500500213797

Reference15 articles.

1. Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

2. Backward Stochastic Differential Equations in Finance

3. Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

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