A maximum principle for optimal control of stochastic systems with delay, with applications to finance.
By Bernt Øksendal, Agnès Sulem. 2000
143 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/8d67cac0dfef6b391ae2f7fb5eb9614842a8ffb4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Agnès Sulem
- Bernt Øksendal
- Tusheng Zhang
- Simo Särkkä
- Dongbin Xiu
- B. Larssen
- Fred Espen Benth
- Christopher S. Jones
Citations in the corpus
- Dynamic programming in stochastic control of systems with delay (2002, background): “[17]) proved a maximum principle for certain delay systems.”
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011, background): “There are some papers dealing with this subject in the stochastic Brownian case: we refer the reader to [5], [9], [10], [11], and [12].”