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

DOI10.1080/00207179.2013.767941zbMath1278.49032OpenAlexW2052391451MaRDI QIDQ2871780

Tak Kuen Siu, Yang Shen

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 stochastic differential equationsstochastic maximum principlerandom default timebackward control systems

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Progressive enlargement of filtrations and backward stochastic differential equations with jumps
• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• Stochastic controls with terminal contingent conditions
• Conjugate convex functions in optimal stochastic control
• A partial information non-zero sum differential game of backward stochastic differential equations with applications
• Portfolio optimization with a defaultable security
• A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
• Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
• A mean-field stochastic maximum principle via Malliavin calculus
• A General Stochastic Maximum Principle for Optimal Control Problems
• A Maximum Principle for Stochastic Control with Partial Information
• A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

This page was built for publication: A stochastic maximum principle for backward control systems with random default time