A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications (Q655824)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications |
scientific article |
Statements
A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications (English)
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27 January 2012
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risk-sensitive control
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jump diffusions
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maximum principle
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adjoint equation
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