A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
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Cites work
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Cited in
(8)- Maximum principle for differential games of forward-backward stochastic systems with applications
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach
- scientific article; zbMATH DE number 2062956 (Why is no real title available?)
- Mean-variance portfolio selection under no-shorting rules: a BSDE approach
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