| 1 |
ERGODIC CONTROL OF A CLASS OF JUMP DIFFUSIONS WITH FINITE LEVY MEASURES AND ROUGH KERNELS
Arapostathis A, Caffarelli L, Pang GD, Zheng Y
SIAM Journal on Control and Optimization, 57(2), 1516, 2019 |
| 2 |
Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps
Di Nunno G, Khedher A, Vanmaele M
Applied Mathematics and Optimization, 72(3), 353, 2015 |
| 3 |
Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions
Shi JT
International Journal of Control, 87(4), 693, 2014 |
| 4 |
A CLASS OF SOLVABLE OPTIMAL STOPPING PROBLEMS OF SPECTRALLY NEGATIVE JUMP DIFFUSIONS
Luis ELHR, Matomaki P, Rakkolainen TA
SIAM Journal on Control and Optimization, 52(4), 2224, 2014 |
| 5 |
A MARTINGALE APPROACH TO OPTIMAL PORTFOLIOS WITH JUMP-DIFFUSIONS
Michelbrink D, Le HL
SIAM Journal on Control and Optimization, 50(1), 583, 2012 |
| 6 |
SINGULAR STOCHASTIC CONTROL AND OPTIMAL STOPPING WITH PARTIAL INFORMATION OF ITO-LEVY PROCESSES
Oksendal B, Sulem A
SIAM Journal on Control and Optimization, 50(4), 2254, 2012 |
| 7 |
Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions
Shi JT, Wu Z
Applied Mathematics and Optimization, 63(2), 151, 2011 |
| 8 |
A PROOF OF THE SMOOTHNESS OF THE FINITE TIME HORIZON AMERICAN PUT OPTION FOR JUMP DIFFUSIONS
Bayraktar E
SIAM Journal on Control and Optimization, 48(2), 551, 2009 |
| 9 |
Optimal stochastic impulse control with delayed reaction
Oksendal B, Sulem A
Applied Mathematics and Optimization, 58(2), 243, 2008 |
| 10 |
Partial information linear quadratic control for jump diffusions
Hu YZ, Oksendal B
SIAM Journal on Control and Optimization, 47(4), 1744, 2008 |
