Some new BSDE results for an infinite-horizon stochastic control problem
Year of publication: |
2011
|
---|---|
Authors: | Hu, Ying ; Schweizer, Martin |
Published in: |
Advanced mathematical methods for finance. - Heidelberg [u.a.] : Springer, ISBN 3-642-18411-1. - 2011, p. 367-395
|
Subject: | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Analysis | Mathematical analysis | Theorie | Theory |
-
Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
Sennewald, Ken, (2007)
-
A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin, (2010)
-
A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia, (2011)
- More ...
-
Some New BSDE Results for an Infinite-HorizonStochastic Control Problem
Hu, Ying, (2009)
-
Liu, Jiayue, (2021)
-
Forward-backward systems for expected utility maximization
Horst, Ulrich, (2011)
- More ...