Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

By N. C. Framstad, Bernt Øksendal, Agnès Sulem. 2004

174 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/9cce72061e6172e0735861337bcc6532cba8d4ce

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Frank Norbert Proske
2. Bernt Øksendal
3. F. Baghéry
4. Tusheng Zhang
5. Xicheng Zhang
6. T. Meyer‐Brandis
7. David Nualart
8. Qingxin Meng

In Management Science and Operations Research

1. Frank Norbert Proske
2. Bernt Øksendal
3. F. Baghéry
4. Tusheng Zhang
5. Qingxin Meng
6. T. Meyer‐Brandis
7. Wei Liu

In Modeling and Simulation

1. F. Baghéry
2. Bernt Øksendal
3. Tusheng Zhang

Citations in the corpus

• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields (2005, background): “This part of the paper is an extension of [8] to the case including jumps and an extension of [4] to SPDE control.”
• A Maximum Principle for Stochastic Control with Partial Information (2007, methodology): “12) We follow the approach in [3] and try a solution p t of the form p t = tX t + t (4.”
• Stochastic Stackelberg Equilibria with Applications to Time Dependent Newsvendor Models (2013, unknown): “We may summarize (5) and (7) as follows: max uF∈AF,E JF (uL, uF ) = JF (uL,Φ(uL)) (8)”