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Latest revision as of 10:25, 5 June 2024

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A stochastic maximum principle for systems with jumps, with applications to finance.
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    A stochastic maximum principle for systems with jumps, with applications to finance. (English)
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    21 January 2003
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    Stochastic maximum principle
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    Convex analysis
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    Stochastic control
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    Backward stochastic differential equations
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    Adjoint equation
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    Consumption--investment problem
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