Concepedia

A stochastic linear–quadratic problem with Lévy processes and its application to finance

Ken-ichi Mitsui, Yoshio Tabata

Stochastic Processes and their Applications · 2007 · 30 citations · 16 references

DOI

Concepts

References

16

Adapted solution of a backward stochastic differential equation

Étienne Pardoux, Shigē Péng · Systems & Control Letters · 1990 · 2.8K citations

, , +9

On a Matrix Riccati Equation of Stochastic Control

W.M. Wonham · SIAM Journal on Control · 1968 · 1K citations

, , +13

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

Shanjian Tang, Xunjing Li · SIAM Journal on Control and Optimization · 1994 · 543 citations

, , +16

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

Shuping Chen, Xunjing Li, Xun Yu Zhou · SIAM Journal on Control and Optimization · 1998 · 377 citations

, , +16

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

Shuping Chen, Xun Yu Zhou · SIAM Journal on Control and Optimization · 2000 · 363 citations

, , +16