Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching

Mean-field backward stochastic differential equations and related partial differential equations

Rainer Buckdahn, Juan Li, Shigē Péng · Stochastic Processes and their Applications · 2009 · 334 citations

Engineering, Mathematics, Differential Equations +13

The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

Shanjian Tang · SIAM Journal on Control and Optimization · 1998 · 186 citations

Natural Sciences, Mathematics, Optimization +16

The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

Guangchen Wang · IEEE Transactions on Automatic Control · 2009 · 135 citations

Natural Sciences, Finance, Mathematics +17

Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

Bernt Øksendal, Agnès Sulem · SIAM Journal on Control and Optimization · 2009 · 128 citations · Full text

Engineering, Mathematics, Probability Theory +16

Mean‐Variance Portfolio Selection under Partial Information

Jie Xiong, Xun Yu Zhou · SIAM Journal on Control and Optimization · 2007 · 116 citations

Business, Economics, Finance +17