Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
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Publication:601881
DOI10.1007/S11424-010-7224-8zbMath1197.93165OpenAlexW2057567083MaRDI QIDQ601881
Publication date: 29 October 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-7224-8
maximum principlestochastic optimal controlrecursive utilityPoisson random measureforward-backward stochastic control system
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