Pages that link to "Item:Q704754"

The following pages link to Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (Q704754):

Displaying 49 items.

• Optimal control of inequality under uncertainty (Q2452814) (← links)
• Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization (Q2477579) (← links)
• A partial history of the early development of continuous-time nonlinear stochastic systems theory (Q2628408) (← links)
• Stabilization of highly nonlinear hybrid systems driven by Lévy noise and delay feedback control based on discrete-time state observations (Q2681895) (← links)
• Itô's formula for flows of measures on semimartingales (Q2698485) (← links)
• Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model (Q2698613) (← links)
• A stochastic maximum principle for backward control systems with random default time (Q2871780) (← links)
• Optimal Stopping Problem Associated with Jump-diffusion Processes (Q2909978) (← links)
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (Q2937458) (← links)
• Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps (Q2937877) (← links)
• Sensitivity results in stochastic optimal control: A Lagrangian perspective (Q2963496) (← links)
• A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging (Q3121440) (← links)
• Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales (Q3423719) (← links)
• A Maximum Principle for Stochastic Control with Partial Information (Q3446967) (← links)
• Problems of Mathematical Finance by Stochastic Control Methods (Q3557801) (← links)
• Mean Variance Hedging in a General Jump Model (Q3565098) (← links)
• A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets (Q3585320) (← links)
• A maximum principle for controlled stochastic factor model (Q4554102) (← links)
• Effect of the Return Policy in a Continuous-Time Newsvendor Problem (Q4602330) (← links)
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control^† (Q4648585) (← links)
• A stochastic maximum principle for backward control systems with random default time (Q5022829) (← links)
• A time-changed stochastic control problem and its maximum principle theory (Q5029380) (← links)
• Mean-Variance Portfolio Selection in Contagious Markets (Q5071496) (← links)
• Optimal asset allocation for a DC plan with partial information under inflation and mortality risks (Q5078506) (← links)
• Dynamic programming for semi-Markov modulated SDEs (Q5093684) (← links)
• Equilibrium strategies for time-inconsistent stochastic switching systems (Q5107969) (← links)
• (Q5157685) (← links)
• OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS (Q5164391) (← links)
• Iterative Path Integral Approach to Nonlinear Stochastic Optimal Control Under Compound Poisson Noise (Q5270485) (← links)
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions (Q5408037) (← links)
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps (Q5411913) (← links)
• Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions (Q5494488) (← links)
• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields (Q5711149) (← links)
• A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps (Q5854379) (← links)
• A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING (Q5866978) (← links)
• Stabilization of Highly Nonlinear Hybrid Stochastic Differential Delay Equations with Lévy Noise by Delay Feedback Control (Q5883134) (← links)
• A robust optimization formulation for dynamic pricing of a web service with limited total shared capacity (Q6078640) (← links)
• Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions (Q6084118) (← links)
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems (Q6089862) (← links)
• Analysis of investment and decision-making based on ESG token platform under jump-diffusion (Q6109414) (← links)
• Irreversible investment under predictable growth: why land stays vacant when housing demand is booming (Q6139990) (← links)
• Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications (Q6163186) (← links)
• Optimal investment and consumption for financial markets with jumps under transaction costs (Q6181518) (← links)
• Stochastic Maximum Principle for Subdiffusions and Its Applications (Q6202388) (← links)
• A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme (Q6572662) (← links)
• A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls (Q6583304) (← links)
• Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems (Q6596347) (← links)
• Partially observed mean-field game and related mean-field forward-backward stochastic differential equation (Q6611106) (← links)
• Stochastic optimal control of pre-exposure prophylaxis for HIV infection for a jump model (Q6634514) (← links)