Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/080739781
Reference12 articles.
1. A Maximum Principle for Stochastic Control with Partial Information
2. Filtration-consistent nonlinear expectations and related g -expectations
3. Backward Stochastic Differential Equations in Finance
4. Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance
5. Putting order in risk measures
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