Stochastic maximum principle for optimal control with multiple priors (Q2440025): Difference between revisions

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+https://doi.org/10.1016/j.sysconle.2013.12.001
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+W2018523030
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@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
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+Backward stochastic differential equations and applications to optimal control
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+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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+Q4266941
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+A stochastic maximum principle for systems with jumps, with applications to finance.
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+Pricing and hedging derivative securities in markets with uncertain volatilities
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+Superhedging and Dynamic Risk Measures under Volatility Uncertainty
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+Publication:2440025