Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
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Cites work
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- scientific article; zbMATH DE number 1304732 (Why is no real title available?)
- scientific article; zbMATH DE number 3999814 (Why is no real title available?)
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- The stochastic maximum principle for a singular control problem
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- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- Optimal dividends with debts and nonlinear insurance risk processes
- Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
- A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Sensitivity results in stochastic optimal control: a Lagrangian perspective
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- A stochastic maximum principle in mean-field optimal control problems for jump diffusions
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- BSDEs driven by time-changed Lévy noises and optimal control
- Mean-variance portfolio selection in contagious markets
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- Itô's formula for flows of measures on semimartingales
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Near optimality conditions in stochastic control of jump diffusion processes
- Mean Variance Hedging in a General Jump Model
- A stochastic maximum principle for backward control systems with random default time
- Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
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