A stochastic maximum principle for backward control systems with random default time

DOI10.1080/00207179.2013.767941MaRDI QIDQ2871780zbMATH OpenOpenAlexFDO

Authors Yang Shen, Tak Kuen Siu

Publication date 9 January 2014

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2013.767941

zbMATH Keywords

backward control systemsbackward stochastic differential equationsrandom default timestochastic maximum principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Maximum principle for backward doubly stochastic control systems with applications
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• Portfolio optimization with a defaultable security
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Cited in

(2)

• scientific article; zbMATH DE number 7295375 (Why is no real title available?)
• A stochastic maximum principle for backward control systems with random default time

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