A stochastic maximum principle for backward control systems with random default time (Q2871780): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: A Maximum Principle for Stochastic Control with Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization with a defaultable security / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic controls with terminal contingent conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Principle for Backward Doubly Stochastic Control Systems with Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Progressive enlargement of filtrations and backward stochastic differential equations with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Continuous Parameter Stochastic Optimization Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A mean-field stochastic maximum principle via Malliavin calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: A General Stochastic Maximum Principle for Optimal Control Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: A partial information non-zero sum differential game of backward stochastic differential equations with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance / rank
 
Normal rank

Latest revision as of 04:40, 7 July 2024

scientific article
Language Label Description Also known as
English
A stochastic maximum principle for backward control systems with random default time
scientific article

    Statements

    A stochastic maximum principle for backward control systems with random default time (English)
    0 references
    0 references
    0 references
    9 January 2014
    0 references
    stochastic maximum principle
    0 references
    backward control systems
    0 references
    random default time
    0 references
    backward stochastic differential equations
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references