Stochastic control of SDEs associated with Lévy generators and application to financial optimization
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Publication:2266834
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Cited in
(4)- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
- Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
- An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
- Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
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