Stochastic maximum principle with default

DOI10.1007/S00245-026-10435-XMaRDI QIDQ7234506zbMATH OpenFDO

Authors N. Agram, Khalida Bachir Cherif, Kristina Rognlien Dahl

Publication date 28 April 2026

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00245-026-10435-X

zbMATH Keywords

backward stochastic differential equations with defaultsingle jumpstochastic maximum principle

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Jump processes on general state spaces (60J76) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites work

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