A stochastic maximum principle for backward control systems with random default time
From MaRDI portal
Publication:2871780
DOI10.1080/00207179.2013.767941zbMath1278.49032MaRDI QIDQ2871780
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
backward stochastic differential equations; stochastic maximum principle; random default time; backward control systems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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