Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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- Stochastic control of SDEs associated with Lévy generators and application to financial optimization
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- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
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- Feynman-Kac representation of fully nonlinear PDEs and applications
- Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
- Maximum principles for jump diffusion processes with infinite horizon
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- Flow control as a stochastic optimal control problem with incomplete information
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- Verification theory and approximate optimal harvesting strategy for a stochastic competitive ecosystem subject to Lévy noise
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- A stochastic linear-quadratic problem with Lévy processes and its application to finance
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- The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
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- Optimal investment, consumption and proportional reinsurance under model uncertainty
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- A stochastic maximum principle with dissipativity conditions
- Necessary conditions for the optimal control of constrained discontinuous nonlinear stochastic systems
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