A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1343080 (Why is no real title available?)
- scientific article; zbMATH DE number 7618765 (Why is no real title available?)
- A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
- A maximum principle for stochastic optimal control with terminal state constraints, and its applications
- A new risk-sensitive maximum principle
- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Backward stochastic differential equations and applications to optimal control
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- On Certain Questions in the Theory of Optimal Control
- Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
- Stochastic maximum principle for optimal control problem of forward and backward system
- Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application
Cited in
(3)- \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
- Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
- Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
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