Optimal variational principle for backward stochastic control systems associated with Lévy processes

Science China Mathematics ◽

10.1007/s11425-012-4370-6 ◽

2012 ◽

Vol 55 (4) ◽

pp. 745-761 ◽

Author(s):

MaoNing Tang ◽

Qi Zhang

Keyword(s):

Variational Principle ◽

Control Systems ◽

Stochastic Control ◽

Lévy Processes ◽

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A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes

Journal of Systems Science and Complexity ◽

10.1007/s11424-021-0077-5 ◽

2021 ◽

Author(s):

Zhen Huang ◽

Ying Wang ◽

Xiangrong Wang

Keyword(s):

Optimal Control ◽

Control Systems ◽

Stochastic Control ◽

Lévy Processes ◽

Levy Processes ◽

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Stochastic control of drill-heads driven by Lévy processes

10.1016/j.automatica.2019.01.016 ◽

2019 ◽

Vol 103 ◽

pp. 36-45 ◽

Author(s):

K.D. Do

Keyword(s):

Stochastic Control ◽

Lévy Processes ◽

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Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

SIAM Journal on Control and Optimization ◽

10.1137/100793931 ◽

2012 ◽

Vol 50 (4) ◽

pp. 2254-2287 ◽

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Lévy Processes ◽

Partial Information ◽

Levy Processes ◽

Singular Stochastic Control

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Optimality conditions for partial information stochastic control problems driven by Lévy processes

Systems & Control Letters ◽

10.1016/j.sysconle.2012.08.005 ◽

2012 ◽

Vol 61 (11) ◽

pp. 1079-1084 ◽

Author(s):

Khaled Bahlali ◽

Nabil Khelfallah ◽

Brahim Mezerdi

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Lévy Processes ◽

Partial Information ◽

Levy Processes ◽

Control Problems ◽

Stochastic Control Problems

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Honest and dishonest stochastic control for Lévy processes with application to property market

International Journal of Financial Markets and Derivatives ◽

10.1504/ijfmd.2015.069982 ◽

2015 ◽

Vol 4 (2) ◽

pp. 163

Author(s):

C. Achudume ◽

C.R. Nwozo

Keyword(s):

Stochastic Control ◽

Lévy Processes ◽

Levy Processes ◽

Property Market

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Stochastic control of Itô-Lévy processes with applications to finance

Communications on Stochastic Analysis ◽

10.31390/cosa.8.1.01 ◽

2014 ◽

Vol 8 (1) ◽

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Lévy Processes ◽

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Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading

Special Volume: Mathematical Modeling and Numerical Methods in Finance - Handbook of Numerical Analysis ◽

10.1016/s1570-8659(08)00014-8 ◽

2009 ◽

pp. 573-593 ◽

Author(s):

Agnès Sulem ◽

Arturo Kohatsu-Higa ◽

Bernt ∅ksendal ◽

Frank Proske ◽

Giulia Di Nunno ◽

...

Keyword(s):

Stochastic Control ◽

Insider Trading ◽

Lévy Processes ◽

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Lévy Processes and Stochastic Calculus

10.1017/cbo9780511755323 ◽

2004 ◽

Author(s):

David Applebaum

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Stochastic Calculus

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Mean-square Exponential Input-to-state Euler-Maruyama Method Applied to Stochastic Control Systems

ACTA AUTOMATICA SINICA ◽

10.3724/sp.j.1004.2010.00406 ◽

2010 ◽

Vol 36 (3) ◽

pp. 406-411 ◽

Author(s):

Qiao ZHU ◽

Guang-Da HU ◽

Li ZENG

Keyword(s):

Control Systems ◽

Stochastic Control ◽

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Mean-Square Exponential Input-to-State Stability of Numerical Solutions for Stochastic Control Systems

ACTA AUTOMATICA SINICA ◽

10.3724/sp.j.1004.2013.01360 ◽

2014 ◽

Vol 39 (8) ◽

pp. 1360-1365 ◽

Author(s):

Qiao ZHU ◽

Jia-Rui CUI ◽

Guang-Da HU

Keyword(s):

Control Systems ◽

Stochastic Control ◽

Numerical Solutions ◽

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