BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations

By N. El-Karoui, Said Hamadène. 2003

200 citations recorded by the source corpus.

How researchers see this paper

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

7 – Backward Stochastic Differential Equations (2011, unknown): “2 Thesis Overview BSDEs with quadratic drivers appears in many situation: risk sensitive control by El Karoui and Hamadene [33], utility maximization in incomplete market by Hu et al.”
A financial market with interacting investors: does an equilibrium exist? (2011, background): “El Karoui and Hamadène [5] consider certain games with two players.”
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011, unknown): “We also mention the paper [5], where certain control problems of stochastic functional differential equations are studied by means of the Girsanov 3”
A Stochastic Control Approach to a Robust Utility Maximization Problem (2007, background): “Such BSDEs have been much studied recently and typically appear in problems from mathematical finance; see [5] for probably the first appearance of such a BSDE (derived in the context of stochastic differential utility), and for instance [8], [7] or [20] for some recent references.”
A class of globally solvable Markovian quadratic BSDE systems and applications (2016, background): “Next, we consider a risksensitive stochastic game between 2 players studied in [26].”