G-stochastic maximum principle for risk-sensitive control problem and its applications
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Cites work
- scientific article; zbMATH DE number 5971068 (Why is no real title available?)
- scientific article; zbMATH DE number 2144817 (Why is no real title available?)
- A Girsanov type theorem under G-framework
- A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
- A complete representation theorem for \(G\)-martingales
- A new risk-sensitive maximum principle
- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
- A stochastic maximum principle for processes driven by \(G\)-Brownian motion and applications to finance
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Nonlinear expectations and nonlinear Markov chains
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
- On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
- On the singular risk-sensitive stochastic maximum principle
- Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Stochastic differential equations driven by G-Brownian motion with reflecting boundary conditions
- Stochastic maximum principle for optimal control problem under G-expectation utility
- Stochastic maximum principle for optimal control with multiple priors
- Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
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