Near optimality conditions in stochastic control of jump diffusion processes (Q647642): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.sysconle.2011.07.009
+Normal rank
@@ Property / OpenAlex ID @@
+W2052421796
@@ Property / OpenAlex ID: W2052421796 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Stochastic Control with Partial Information
+Normal rank
@@ Property / cites work @@
+Optimal Control of Jump Processes
@@ Property / cites work: Optimal Control of Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control of a jump process
@@ Property / cites work: Optimal control of a jump process / rank @@
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+Nonconvex minimization problems
@@ Property / cites work: Nonconvex minimization problems / rank @@
+Normal rank
@@ Property / cites work @@
+Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
+Normal rank
@@ Property / cites work @@
+Necessary conditions for optimality for a diffusion with a non-smooth drift
+Normal rank
@@ Property / cites work @@
+The variational principle and stochastic optimal control
+Normal rank
@@ Property / cites work @@
+Optimality necessary conditions in singular stochastic control problems with nonsmooth data
+Normal rank
@@ Property / cites work @@
+On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+The maximum principle for optimal control of diffusions with non-smooth coefficients
+Normal rank
@@ Property / cites work @@
+Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
+Normal rank
@@ Property / cites work @@
+Q4000274
@@ Property / cites work: Q4000274 / rank @@
+Normal rank