Maximum principle for stochastic control system with elephant memory and jump diffusion
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Cites work
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- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 1121854 (Why is no real title available?)
- A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications
- A Stochastic Calculus for Systems with Memory
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- A maximum principle for infinite horizon delay equations
- Anticipated backward stochastic differential equations
- Functional Itô calculus
- Linear–Quadratic Mean-Field Game for Stochastic Delayed Systems
- Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
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- Numerical methods for controlled stochastic delay systems
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- Optimal control problem of backward stochastic differential delay equation under partial information
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- Stochastic control of memory mean-field processes
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