Dassa, Meriyam; Chala, Adel \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications. (English) Zbl 07799985 Probab. Uncertain. Quant. Risk 8, No. 4, 463-484 (2023). MSC: 60G65 91B70 49K35 60G46 60G51 93E20 91A30 PDFBibTeX XMLCite \textit{M. Dassa} and \textit{A. Chala}, Probab. Uncertain. Quant. Risk 8, No. 4, 463--484 (2023; Zbl 07799985) Full Text: DOI
Criens, David; Niemann, Lars Nonlinear continuous semimartingales. (English) Zbl 07790306 Electron. J. Probab. 28, Paper No. 146, 40 p. (2023). MSC: 60G65 35D40 60G07 60G44 93E20 PDFBibTeX XMLCite \textit{D. Criens} and \textit{L. Niemann}, Electron. J. Probab. 28, Paper No. 146, 40 p. (2023; Zbl 07790306) Full Text: DOI arXiv
Dai, Ruifen; Guo, Lei Estimation of IIR systems with binary-valued observations. (English) Zbl 07783648 Chin. Ann. Math., Ser. B 44, No. 5, 687-702 (2023). MSC: 93E10 93C27 93E35 PDFBibTeX XMLCite \textit{R. Dai} and \textit{L. Guo}, Chin. Ann. Math., Ser. B 44, No. 5, 687--702 (2023; Zbl 07783648) Full Text: DOI
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. A stochastic control perspective on term structure models with roll-over risk. (English) Zbl 1524.91127 Finance Stoch. 27, No. 4, 903-932 (2023). MSC: 91G30 60G44 93E20 91G10 PDFBibTeX XMLCite \textit{C. Fontana} et al., Finance Stoch. 27, No. 4, 903--932 (2023; Zbl 1524.91127) Full Text: DOI arXiv OA License
Criens, David; Niemann, Lars Robust utility maximization with nonlinear continuous semimartingales. (English) Zbl 1522.91214 Math. Financ. Econ. 17, No. 3, 499-536 (2023). MSC: 91G10 91B16 93E20 60G44 PDFBibTeX XMLCite \textit{D. Criens} and \textit{L. Niemann}, Math. Financ. Econ. 17, No. 3, 499--536 (2023; Zbl 1522.91214) Full Text: DOI arXiv
Dumitrescu, Roxana; Elie, Romuald; Sabbagh, Wissal; Zhou, Chao A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times. (English) Zbl 1521.93203 Stochastic Processes Appl. 164, 183-205 (2023). MSC: 93E20 60H30 60G46 47N10 91A15 PDFBibTeX XMLCite \textit{R. Dumitrescu} et al., Stochastic Processes Appl. 164, 183--205 (2023; Zbl 1521.93203) Full Text: DOI arXiv
Han, Yingying; Zhou, Shaosheng \(H_\infty\) filtering of discrete-time Markovian jump singular systems via bounded real lemma and supermartingale-liked approach. (English) Zbl 1520.93125 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 54, No. 2, 251-263 (2023). MSC: 93B36 93E11 93C55 93E15 60G46 PDFBibTeX XMLCite \textit{Y. Han} and \textit{S. Zhou}, Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 54, No. 2, 251--263 (2023; Zbl 1520.93125) Full Text: DOI
Yuan, Haili; Hu, Yijun Optimal investment strategies for an insurer with liquid constraint. (English) Zbl 07702502 Commun. Stat., Theory Methods 52, No. 7, 2198-2214 (2023). MSC: 91G10 93E20 60J75 60G46 PDFBibTeX XMLCite \textit{H. Yuan} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 7, 2198--2214 (2023; Zbl 07702502) Full Text: DOI
Vidyasagar, M. Convergence of stochastic approximation via martingale and converse Lyapunov methods. (English) Zbl 1518.93148 Math. Control Signals Syst. 35, No. 2, 351-374 (2023). MSC: 93E15 93D20 60G48 PDFBibTeX XMLCite \textit{M. Vidyasagar}, Math. Control Signals Syst. 35, No. 2, 351--374 (2023; Zbl 1518.93148) Full Text: DOI arXiv
Isohätälä, Jukka; Haskell, William B. A dynamic analytic method for risk-aware controlled martingale problems. (English) Zbl 1518.93154 Ann. Appl. Probab. 33, No. 3, 1661-1700 (2023). MSC: 93E20 60G48 90C30 PDFBibTeX XMLCite \textit{J. Isohätälä} and \textit{W. B. Haskell}, Ann. Appl. Probab. 33, No. 3, 1661--1700 (2023; Zbl 1518.93154) Full Text: DOI arXiv
Cox, Alexander M. G.; Robinson, Benjamin A. Optimal control of martingales in a radially symmetric environment. (English) Zbl 1509.93061 Stochastic Processes Appl. 159, 149-198 (2023). MSC: 93E20 49L25 49Q22 60G44 PDFBibTeX XMLCite \textit{A. M. G. Cox} and \textit{B. A. Robinson}, Stochastic Processes Appl. 159, 149--198 (2023; Zbl 1509.93061) Full Text: DOI arXiv
Chen, Yuyang; Luo, Peng Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators. (English) Zbl 1515.60180 J. Math. Anal. Appl. 522, No. 1, Article ID 126948, 15 p. (2023). MSC: 60H10 60H30 60H15 93E20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{P. Luo}, J. Math. Anal. Appl. 522, No. 1, Article ID 126948, 15 p. (2023; Zbl 1515.60180) Full Text: DOI arXiv
Wang, Christopher Independence and conditional independence in discrete-time dynamic allocation problems. arXiv:2312.09350 Preprint, arXiv:2312.09350 [math.PR] (2023). MSC: 93E20 60G40 60G48 90B35 90C24 BibTeX Cite \textit{C. Wang}, ``Independence and conditional independence in discrete-time dynamic allocation problems'', Preprint, arXiv:2312.09350 [math.PR] (2023) Full Text: arXiv OA License
He, Xihao On the limit theory of mean field optimal stopping with non-Markov dynamics and common noise. arXiv:2310.00407 Preprint, arXiv:2310.00407 [math.PR] (2023). MSC: 60G40 60G44 60G07 93E15 BibTeX Cite \textit{X. He}, ``On the limit theory of mean field optimal stopping with non-Markov dynamics and common noise'', Preprint, arXiv:2310.00407 [math.PR] (2023) Full Text: arXiv OA License
Bayraktar, Erhan; Yao, Song Stochastic Control/Stopping Problem with Expectation Constraints. arXiv:2305.18664 Preprint, arXiv:2305.18664 [math.OC] (2023). MSC: 93E20 60G40 49L20 60G44 BibTeX Cite \textit{E. Bayraktar} and \textit{S. Yao}, ``Stochastic Control/Stopping Problem with Expectation Constraints'', Preprint, arXiv:2305.18664 [math.OC] (2023) Full Text: arXiv OA License
Duncan, Tyrone E. Encounters with martingales in stochastic control. (English) Zbl 1523.60074 Mazliak, Laurent (ed.) et al., The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. Trends Hist. Sci., 321-334 (2022). MSC: 60G42 60G44 93E03 PDFBibTeX XMLCite \textit{T. E. Duncan}, in: The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. 321--334 (2022; Zbl 1523.60074) Full Text: DOI
Karatzas, Ioannis; Tschiderer, Bertram A variational characterization of Langevin-Smoluchowski diffusions. (English) Zbl 1504.93398 Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 239-265 (2022). MSC: 93E20 94A17 35Q84 60G44 60J60 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{B. Tschiderer}, in: Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis's contributions. Cham: Springer. 239--265 (2022; Zbl 1504.93398) Full Text: DOI arXiv
Xiong, Hong; Tang, Maoning; Meng, Qingxin Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process. (English) Zbl 1524.49064 Commun. Appl. Math. Comput. 4, No. 4, 1386-1415 (2022). MSC: 49N10 49K45 60H10 93E24 60J65 60G51 49N35 PDFBibTeX XMLCite \textit{H. Xiong} et al., Commun. Appl. Math. Comput. 4, No. 4, 1386--1415 (2022; Zbl 1524.49064) Full Text: DOI
Ji, Shaolin; Xu, Rundong A modified method of successive approximations for stochastic recursive optimal control problems. (English) Zbl 1498.93781 SIAM J. Control Optim. 60, No. 5, 2759-2786 (2022). MSC: 93E20 60H30 49M05 PDFBibTeX XMLCite \textit{S. Ji} and \textit{R. Xu}, SIAM J. Control Optim. 60, No. 5, 2759--2786 (2022; Zbl 1498.93781) Full Text: DOI arXiv
Källblad, Sigrid A dynamic programming approach to distribution-constrained optimal stopping. (English) Zbl 1503.60050 Ann. Appl. Probab. 32, No. 3, 1902-1928 (2022). MSC: 60G40 49L20 58E25 60G57 62L15 93E20 PDFBibTeX XMLCite \textit{S. Källblad}, Ann. Appl. Probab. 32, No. 3, 1902--1928 (2022; Zbl 1503.60050) Full Text: DOI
Brinker, Leonie Violetta; Schmidli, Hanspeter Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance. (English) Zbl 1489.91215 J. Appl. Probab. 59, No. 2, 527-540 (2022). MSC: 91G05 93E20 60G44 60J60 PDFBibTeX XMLCite \textit{L. V. Brinker} and \textit{H. Schmidli}, J. Appl. Probab. 59, No. 2, 527--540 (2022; Zbl 1489.91215) Full Text: DOI
Zhang, Lantian; Zhao, Yanlong; Guo, Lei Identification and adaptation with binary-valued observations under non-persistent excitation condition. (English) Zbl 1485.93607 Automatica 138, Article ID 110158, 9 p. (2022). MSC: 93E12 93E10 93E35 PDFBibTeX XMLCite \textit{L. Zhang} et al., Automatica 138, Article ID 110158, 9 p. (2022; Zbl 1485.93607) Full Text: DOI arXiv
Huang, Zhen; Wang, Ying; Wang, Xiangrong A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes. (English) Zbl 1485.93631 J. Syst. Sci. Complex. 35, No. 1, 205-220 (2022). MSC: 93E20 49N80 49N10 60G51 PDFBibTeX XMLCite \textit{Z. Huang} et al., J. Syst. Sci. Complex. 35, No. 1, 205--220 (2022; Zbl 1485.93631) Full Text: DOI
Salmerón, José A.; Di Nunno, Giulia; D’Auria, Bernardo Before and after default: information and optimal portfolio via anticipating calculus. arXiv:2208.07163 Preprint, arXiv:2208.07163 [q-fin.PM] (2022). MSC: 60G44 93E20 BibTeX Cite \textit{J. A. Salmerón} et al., ``Before and after default: information and optimal portfolio via anticipating calculus'', Preprint, arXiv:2208.07163 [q-fin.PM] (2022) Full Text: arXiv OA License
Caines, Peter E.; Levanony, David On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits. (English) Zbl 1490.60144 Stochastics 93, No. 6, 857-867 (2021). MSC: 60H10 60G17 60G44 93E03 93E15 PDFBibTeX XMLCite \textit{P. E. Caines} and \textit{D. Levanony}, Stochastics 93, No. 6, 857--867 (2021; Zbl 1490.60144) Full Text: DOI
Song, Jian; Wang, Meng Stochastic maximum principle for systems driven by local martingales with spatial parameters. (English) Zbl 1492.93205 Probab. Uncertain. Quant. Risk 6, No. 3, 213-236 (2021). MSC: 93E20 60H10 60G48 PDFBibTeX XMLCite \textit{J. Song} and \textit{M. Wang}, Probab. Uncertain. Quant. Risk 6, No. 3, 213--236 (2021; Zbl 1492.93205) Full Text: DOI arXiv
Smirnov, Sergey N.; Zanochkin, Andrey Yu. Guaranteed deterministic approach to superhedging: case of binary European option. (English) Zbl 1482.91207 Abstr. Appl. Anal. 2021, Article ID 5568636, 18 p. (2021). MSC: 91G20 91A80 60G42 90C46 93E20 PDFBibTeX XMLCite \textit{S. N. Smirnov} and \textit{A. Yu. Zanochkin}, Abstr. Appl. Anal. 2021, Article ID 5568636, 18 p. (2021; Zbl 1482.91207) Full Text: DOI
Valjarević, Dragana; Merkle, Ana Statistical causality and measurable separability of \(\sigma \)-algebras. (English) Zbl 1474.60119 Stat. Probab. Lett. 177, Article ID 109166, 6 p. (2021). MSC: 60G44 60H10 62P20 93E03 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{A. Merkle}, Stat. Probab. Lett. 177, Article ID 109166, 6 p. (2021; Zbl 1474.60119) Full Text: DOI
Colaneri, Katia; Herzel, Stefano; Nicolosi, Marco The value of knowing the market price of risk. (English) Zbl 1476.91144 Ann. Oper. Res. 299, No. 1-2, 101-131 (2021). MSC: 91G10 93E20 60G44 PDFBibTeX XMLCite \textit{K. Colaneri} et al., Ann. Oper. Res. 299, No. 1--2, 101--131 (2021; Zbl 1476.91144) Full Text: DOI arXiv
Bouchard, Bruno; Tan, Xiaolu A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. (English) Zbl 1470.91272 Finance Stoch. 25, No. 3, 505-528 (2021). MSC: 91G20 60G44 93E20 60H05 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{X. Tan}, Finance Stoch. 25, No. 3, 505--528 (2021; Zbl 1470.91272) Full Text: DOI arXiv
Deepa, R.; Muthukumar, P.; Hafayed, Mokhtar Optimal control of nonzero sum game mean-field delayed Markov regime-switching forward-backward system with Lévy processes. (English) Zbl 1469.93113 Optim. Control Appl. Methods 42, No. 1, 110-125 (2021). MSC: 93E20 49N80 60G51 91A16 PDFBibTeX XMLCite \textit{R. Deepa} et al., Optim. Control Appl. Methods 42, No. 1, 110--125 (2021; Zbl 1469.93113) Full Text: DOI
Fayvisovich, Roman; Žitković, Gordan A framework for the dynamic programming principle and martingale-generated control correspondences. (English) Zbl 1467.93327 Appl. Math. Optim. 83, No. 3, 1311-1352 (2021). MSC: 93E20 90C39 60G44 PDFBibTeX XMLCite \textit{R. Fayvisovich} and \textit{G. Žitković}, Appl. Math. Optim. 83, No. 3, 1311--1352 (2021; Zbl 1467.93327) Full Text: DOI arXiv
Cox, Alexander M. G.; Källblad, Sigrid; Larsson, Martin; Svaluto-Ferro, Sara Controlled Measure-Valued Martingales: a Viscosity Solution Approach. arXiv:2109.00064 Preprint, arXiv:2109.00064 [math.PR] (2021). MSC: 93E20 49L25 60G57 58J65 60G48 58C20 46T05 91G20 91A27 BibTeX Cite \textit{A. M. G. Cox} et al., ``Controlled Measure-Valued Martingales: a Viscosity Solution Approach'', Preprint, arXiv:2109.00064 [math.PR] (2021) Full Text: arXiv OA License
Li, Hsin-Lun Mixed Deffuant Dynamics. arXiv:2112.02956 Preprint, arXiv:2112.02956 [math.PR] (2021). MSC: 05C40 05C90 37N99 60G42 91C20 91D25 91D30 93D50 94C15 BibTeX Cite \textit{H.-L. Li}, ``Mixed Deffuant Dynamics'', Preprint, arXiv:2112.02956 [math.PR] (2021) Full Text: arXiv OA License
Song, Teng; Liu, Bin A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type. (English) Zbl 1482.60081 Adv. Difference Equ. 2020, Paper No. 188, 24 p. (2020). MSC: 60H10 93E20 49K45 49N10 60G42 91A16 PDFBibTeX XMLCite \textit{T. Song} and \textit{B. Liu}, Adv. Difference Equ. 2020, Paper No. 188, 24 p. (2020; Zbl 1482.60081) Full Text: DOI
Zhai, Yonghui; Wang, Yiwei; Gao, Qinghui Optimal investment strategies for DC occupational pension fund based stochastic contribution flow model: under the constraint of a minimum guarantee. (Chinese. English summary) Zbl 1463.91122 J. Henan Norm. Univ., Nat. Sci. 48, No. 2, 6-13 (2020). MSC: 91G05 93E20 60G44 PDFBibTeX XMLCite \textit{Y. Zhai} et al., J. Henan Norm. Univ., Nat. Sci. 48, No. 2, 6--13 (2020; Zbl 1463.91122) Full Text: DOI
Jagers, Peter; Zuyev, Sergei Populations in environments with a soft carrying capacity are eventually extinct. (English) Zbl 1451.92257 J. Math. Biol. 81, No. 3, 845-851 (2020). MSC: 92D25 92D40 60G42 93E15 PDFBibTeX XMLCite \textit{P. Jagers} and \textit{S. Zuyev}, J. Math. Biol. 81, No. 3, 845--851 (2020; Zbl 1451.92257) Full Text: DOI arXiv
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan Conditional Davis pricing. (English) Zbl 1461.91316 Finance Stoch. 24, No. 3, 565-599 (2020). Reviewer: Paweł Kliber (Poznan) MSC: 91G20 91G80 93E20 60K35 60G44 46N10 PDFBibTeX XMLCite \textit{K. Larsen} et al., Finance Stoch. 24, No. 3, 565--599 (2020; Zbl 1461.91316) Full Text: DOI arXiv
Brachetta, Matteo; Schmidli, Hanspeter Optimal reinsurance and investment in a diffusion model. (English) Zbl 1444.91191 Decis. Econ. Finance 43, No. 1, 341-361 (2020). MSC: 91G05 60G44 60J60 93E20 PDFBibTeX XMLCite \textit{M. Brachetta} and \textit{H. Schmidli}, Decis. Econ. Finance 43, No. 1, 341--361 (2020; Zbl 1444.91191) Full Text: DOI arXiv
Hafayed, Mokhtar; Meherrem, Shahlar On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures. (English) Zbl 1443.93139 Int. J. Control 93, No. 5, 1053-1062 (2020). Reviewer: Syed Abbas (Mandi) MSC: 93E20 60G51 60G44 91G10 PDFBibTeX XMLCite \textit{M. Hafayed} and \textit{S. Meherrem}, Int. J. Control 93, No. 5, 1053--1062 (2020; Zbl 1443.93139) Full Text: DOI
Hess, Markus Enlarged filtrations and indistinguishable processes. (English) Zbl 1427.60074 Stochastic Anal. Appl. 38, No. 1, 179-189 (2020). MSC: 60G44 60G51 60H10 91G20 60G57 91B44 91G70 91G10 93E20 PDFBibTeX XMLCite \textit{M. Hess}, Stochastic Anal. Appl. 38, No. 1, 179--189 (2020; Zbl 1427.60074) Full Text: DOI
Bayraktar, Erhan; Yao, Song Optimal Stopping with Expectation Constraints. arXiv:2011.04886 Preprint, arXiv:2011.04886 [math.OC] (2020). MSC: 60G40 49L20 93E20 60G44 BibTeX Cite \textit{E. Bayraktar} and \textit{S. Yao}, ``Optimal Stopping with Expectation Constraints'', Preprint, arXiv:2011.04886 [math.OC] (2020) Full Text: arXiv OA License
Wei, Chao; He, Chaobing Parameter estimation for partially observed nonlinear stochastic system. (English) Zbl 1459.62030 Int. J. Comput. Sci. Math. 10, No. 2, 150-159 (2019). MSC: 62F10 60G44 62F12 93E11 PDFBibTeX XMLCite \textit{C. Wei} and \textit{C. He}, Int. J. Comput. Sci. Math. 10, No. 2, 150--159 (2019; Zbl 1459.62030) Full Text: DOI
Ding, Kui; Zhu, Quanxin \(H_\infty\) synchronization of uncertain stochastic time-varying delay systems with exogenous disturbance via intermittent control. (English) Zbl 1448.93071 Chaos Solitons Fractals 127, 244-256 (2019). MSC: 93B36 93C41 93E15 93C43 PDFBibTeX XMLCite \textit{K. Ding} and \textit{Q. Zhu}, Chaos Solitons Fractals 127, 244--256 (2019; Zbl 1448.93071) Full Text: DOI
Bercu, Bernard; Vázquez, Víctor On the almost sure central limit theorem for ARX processes in adaptive tracking. (English) Zbl 1451.93184 Int. J. Adapt. Control Signal Process. 33, No. 12, 1901-1911 (2019). MSC: 93C40 93B05 60F05 60G44 PDFBibTeX XMLCite \textit{B. Bercu} and \textit{V. Vázquez}, Int. J. Adapt. Control Signal Process. 33, No. 12, 1901--1911 (2019; Zbl 1451.93184) Full Text: DOI arXiv
Thoppe, Gugan; Borkar, Vivek A concentration bound for stochastic approximation via Alekseev’s formula. (English) Zbl 1442.62187 Stoch. Syst. 9, No. 1, 1-26 (2019). MSC: 62L20 93-08 60G42 34D10 PDFBibTeX XMLCite \textit{G. Thoppe} and \textit{V. Borkar}, Stoch. Syst. 9, No. 1, 1--26 (2019; Zbl 1442.62187) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI arXiv
Grandits, Peter On the gain of collaboration in a two dimensional ruin problem. (English) Zbl 1446.91061 Eur. Actuar. J. 9, No. 2, 635-644 (2019). Reviewer: Dominique Lépingle (Orléans) MSC: 91G05 60G44 93E20 91G80 PDFBibTeX XMLCite \textit{P. Grandits}, Eur. Actuar. J. 9, No. 2, 635--644 (2019; Zbl 1446.91061) Full Text: DOI
Belyavskii, G. I.; Danilova, N. V.; Zemlyakova, I. A. Optimal control problems with disorder. (English. Russian original) Zbl 1431.93063 Autom. Remote Control 80, No. 8, 1419-1427 (2019); translation from Avtom. Telemekh. 2019, No. 8, 64-75 (2019). MSC: 93E20 91G15 60G44 92-08 PDFBibTeX XMLCite \textit{G. I. Belyavskii} et al., Autom. Remote Control 80, No. 8, 1419--1427 (2019; Zbl 1431.93063); translation from Avtom. Telemekh. 2019, No. 8, 64--75 (2019) Full Text: DOI
Hess, Markus Optimal equivalent probability measures under enlarged filtrations. (English) Zbl 1429.93419 J. Optim. Theory Appl. 183, No. 3, 813-839 (2019). MSC: 93E20 60G51 60H10 60G44 PDFBibTeX XMLCite \textit{M. Hess}, J. Optim. Theory Appl. 183, No. 3, 813--839 (2019; Zbl 1429.93419) Full Text: DOI
Fouque, Jean-pierre; Hu, Ruimeng Optimal portfolio under fractional stochastic environment. (English) Zbl 1426.91245 Math. Finance 29, No. 3, 697-734 (2019). MSC: 91G10 60G44 93E20 60G22 PDFBibTeX XMLCite \textit{J.-p. Fouque} and \textit{R. Hu}, Math. Finance 29, No. 3, 697--734 (2019; Zbl 1426.91245) Full Text: DOI arXiv
Meherrem, Shahlar; Hafayed, Mokhtar Maximum principle for optimal control of McKean-Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law. (English) Zbl 1425.93304 Optim. Control Appl. Methods 40, No. 3, 499-516 (2019). MSC: 93E20 93C15 60G51 60H10 PDFBibTeX XMLCite \textit{S. Meherrem} and \textit{M. Hafayed}, Optim. Control Appl. Methods 40, No. 3, 499--516 (2019; Zbl 1425.93304) Full Text: DOI
Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, José Kyle equilibrium under random price pressure. (English) Zbl 1426.91315 Decis. Econ. Finance 42, No. 1, 77-101 (2019). MSC: 91G99 60G44 93E20 PDFBibTeX XMLCite \textit{J. M. Corcuera} et al., Decis. Econ. Finance 42, No. 1, 77--101 (2019; Zbl 1426.91315) Full Text: DOI Link
Lin, Hongcan; Saunders, David; Weng, Chengguo Portfolio optimization with performance ratios. (English) Zbl 1422.91657 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950022, 38 p. (2019). MSC: 91G10 93E20 60G44 PDFBibTeX XMLCite \textit{H. Lin} et al., Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950022, 38 p. (2019; Zbl 1422.91657) Full Text: DOI
Jacka, Saul D.; Norgilas, Dominykas On the compensator in the Doob-Meyer decomposition of the Snell envelope. (English) Zbl 1420.60053 SIAM J. Control Optim. 57, No. 3, 1869-1889 (2019). MSC: 60G40 60G44 60J25 60G07 93E20 PDFBibTeX XMLCite \textit{S. D. Jacka} and \textit{D. Norgilas}, SIAM J. Control Optim. 57, No. 3, 1869--1889 (2019; Zbl 1420.60053) Full Text: DOI arXiv
Muthukumar, P.; Deepa, R. Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes. (English) Zbl 1419.49008 Commun. Math. Stat. 7, No. 2, 163-180 (2019). MSC: 49J15 35B50 60H10 93E20 PDFBibTeX XMLCite \textit{P. Muthukumar} and \textit{R. Deepa}, Commun. Math. Stat. 7, No. 2, 163--180 (2019; Zbl 1419.49008) Full Text: DOI
Mostovyi, Oleksii; Sîrbu, Mihai Sensitivity analysis of the utility maximisation problem with respect to model perturbations. (English) Zbl 1465.91100 Finance Stoch. 23, No. 3, 595-640 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 91B16 60G44 PDFBibTeX XMLCite \textit{O. Mostovyi} and \textit{M. Sîrbu}, Finance Stoch. 23, No. 3, 595--640 (2019; Zbl 1465.91100) Full Text: DOI arXiv
Dahl, Kristina Rognlien Management of a hydropower system via convex duality. (English) Zbl 1410.93146 Math. Methods Oper. Res. 89, No. 1, 43-71 (2019). MSC: 93E20 93C95 90C46 PDFBibTeX XMLCite \textit{K. R. Dahl}, Math. Methods Oper. Res. 89, No. 1, 43--71 (2019; Zbl 1410.93146) Full Text: DOI arXiv
Levanony, David On the consistent filtering of convergent semimartingales. (English) Zbl 1404.93031 Stochastic Processes Appl. 129, No. 1, 323-335 (2019). MSC: 93E11 93E12 60G48 PDFBibTeX XMLCite \textit{D. Levanony}, Stochastic Processes Appl. 129, No. 1, 323--335 (2019; Zbl 1404.93031) Full Text: DOI
Jiao, Ying; Kharroubi, Idris Information uncertainty related to marked random times and optimal investment. (English) Zbl 1443.91273 Probab. Uncertain. Quant. Risk 3, Paper No. 3, 24 p. (2018). MSC: 91G15 93E20 60G44 PDFBibTeX XMLCite \textit{Y. Jiao} and \textit{I. Kharroubi}, Probab. Uncertain. Quant. Risk 3, Paper No. 3, 24 p. (2018; Zbl 1443.91273) Full Text: DOI arXiv
Borisov, A. V.; Miller, G. B.; Stefanovich, A. I. Controllable Markov jump processes. I: Optimum filtering based on complex observations. (English. Russian original) Zbl 1420.93033 J. Comput. Syst. Sci. Int. 57, No. 6, 890-906 (2018); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upr. 2018, No. 6, 64-83 (2018). MSC: 93E11 93C15 60G44 PDFBibTeX XMLCite \textit{A. V. Borisov} et al., J. Comput. Syst. Sci. Int. 57, No. 6, 890--906 (2018; Zbl 1420.93033); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upr. 2018, No. 6, 64--83 (2018) Full Text: DOI
Butov, Aleksandr Aleksandrovich; Kovalenko, Anatoliĭ Aleksandrovich Stochastic models of simple controlled systems just-in-time. (English) Zbl 1424.90002 Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 22, No. 3, 518-531 (2018). MSC: 90B05 90B30 60J27 93E20 60G44 60G55 PDFBibTeX XMLCite \textit{A. A. Butov} and \textit{A. A. Kovalenko}, Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 22, No. 3, 518--531 (2018; Zbl 1424.90002) Full Text: DOI MNR
Mostovyi, Oleksii Optimal consumption of multiple goods in incomplete markets. (English) Zbl 1417.91472 J. Appl. Probab. 55, No. 3, 810-822 (2018). MSC: 91G10 93E20 60G48 49N15 PDFBibTeX XMLCite \textit{O. Mostovyi}, J. Appl. Probab. 55, No. 3, 810--822 (2018; Zbl 1417.91472) Full Text: DOI arXiv
Radenković, Miloje S.; Stanković, Miloš S.; Stanković, Srdjan S. Extremum seeking control with two-sided stochastic perturbations. (English) Zbl 1404.93022 SIAM J. Control Optim. 56, No. 5, 3766-3783 (2018). MSC: 93C40 93C73 PDFBibTeX XMLCite \textit{M. S. Radenković} et al., SIAM J. Control Optim. 56, No. 5, 3766--3783 (2018; Zbl 1404.93022) Full Text: DOI
Hata, Hiroaki; Yasuda, Kazuhiro Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model. (English) Zbl 1416.91185 Scand. Actuar. J. 2018, No. 5, 357-378 (2018). MSC: 91B30 91B16 93E20 90C39 60G44 PDFBibTeX XMLCite \textit{H. Hata} and \textit{K. Yasuda}, Scand. Actuar. J. 2018, No. 5, 357--378 (2018; Zbl 1416.91185) Full Text: DOI
Kumar, Rohini; Nasralah, Hussein Asymptotic approximation of optimal portfolio for small time horizons. (English) Zbl 1396.91691 SIAM J. Financ. Math. 9, No. 2, 755-774 (2018). MSC: 91G10 93E20 91G80 60G44 49L25 PDFBibTeX XMLCite \textit{R. Kumar} and \textit{H. Nasralah}, SIAM J. Financ. Math. 9, No. 2, 755--774 (2018; Zbl 1396.91691) Full Text: DOI arXiv
Fouque, Jean-Pierre; Hu, Ruimeng Optimal portfolio under fast mean-reverting fractional stochastic environment. (English) Zbl 1410.91414 SIAM J. Financ. Math. 9, No. 2, 564-601 (2018). MSC: 91G10 93E20 60G22 60G44 PDFBibTeX XMLCite \textit{J.-P. Fouque} and \textit{R. Hu}, SIAM J. Financ. Math. 9, No. 2, 564--601 (2018; Zbl 1410.91414) Full Text: DOI arXiv
Guo, Yao; Lin, Wei; Chen, Guanrong Stability of switched systems on randomly switching durations with random interaction matrices. (English) Zbl 1390.93830 IEEE Trans. Autom. Control 63, No. 1, 21-36 (2018). MSC: 93E15 60B20 60F15 60G42 PDFBibTeX XMLCite \textit{Y. Guo} et al., IEEE Trans. Autom. Control 63, No. 1, 21--36 (2018; Zbl 1390.93830) Full Text: DOI
Guo, Xin; Pan, Chen Itô’s calculus under sublinear expectations via regularity of PDEs and rough paths. (English) Zbl 1390.60160 Stochastic Processes Appl. 128, No. 5, 1711-1749 (2018). MSC: 60G44 60H05 35K61 93E20 PDFBibTeX XMLCite \textit{X. Guo} and \textit{C. Pan}, Stochastic Processes Appl. 128, No. 5, 1711--1749 (2018; Zbl 1390.60160) Full Text: DOI
Guo, Xin; Pan, Chen; Peng, Shige Martingale problem under nonlinear expectations. (English) Zbl 1391.60094 Math. Financ. Econ. 12, No. 2, 135-164 (2018). MSC: 60G44 60G40 60H30 49J10 93E20 60H15 PDFBibTeX XMLCite \textit{X. Guo} et al., Math. Financ. Econ. 12, No. 2, 135--164 (2018; Zbl 1391.60094) Full Text: DOI arXiv
Corcuera, José Manuel; Di Nunno, Giulia Kyle-Back’s model with a random horizon. (English) Zbl 1395.91435 Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850016, 41 p. (2018). MSC: 91G20 60G44 60H30 93E20 PDFBibTeX XMLCite \textit{J. M. Corcuera} and \textit{G. Di Nunno}, Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850016, 41 p. (2018; Zbl 1395.91435) Full Text: DOI
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan An expansion in the model space in the context of utility maximization. (English) Zbl 1396.91692 Finance Stoch. 22, No. 2, 297-326 (2018). Reviewer: Nadi Serhan Aydın (Istanbul) MSC: 91G10 93E20 60G44 91G60 PDFBibTeX XMLCite \textit{K. Larsen} et al., Finance Stoch. 22, No. 2, 297--326 (2018; Zbl 1396.91692) Full Text: DOI arXiv
D’Auria, Bernardo; Salmerón, José Antonio A short note on ”Anticipative portfolio optimization”. arXiv:1809.09001 Preprint, arXiv:1809.09001 [math.PR] (2018). MSC: 60G44 91B42 93E11 93E20 BibTeX Cite \textit{B. D'Auria} and \textit{J. A. Salmerón}, ``A short note on "Anticipative portfolio optimization"'', Preprint, arXiv:1809.09001 [math.PR] (2018) Full Text: arXiv OA License
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii Optimal investment with intermediate consumption under no unbounded profit with bounded risk. (English) Zbl 1416.91344 J. Appl. Probab. 54, No. 3, 710-719 (2017). MSC: 91G10 93E20 60G48 PDFBibTeX XMLCite \textit{H. N. Chau} et al., J. Appl. Probab. 54, No. 3, 710--719 (2017; Zbl 1416.91344) Full Text: DOI arXiv Link
Cai, Jiatu; Rosenbaum, Mathieu; Tankov, Peter Asymptotic optimal tracking: feedback strategies. (English) Zbl 1397.93080 Stochastics 89, No. 6-7, 943-966 (2017). MSC: 93B52 93D20 60G44 PDFBibTeX XMLCite \textit{J. Cai} et al., Stochastics 89, No. 6--7, 943--966 (2017; Zbl 1397.93080) Full Text: DOI arXiv
Vonwirth, Christian Continuous-time portfolio optimization under partial information and convex constraints: deriving explicit results. (English) Zbl 1378.91006 Kaiserslautern: TU Kaiserslautern (Diss.). vi, 193 p. (2017). MSC: 91-02 91G10 93E20 60H30 60G44 49N15 PDFBibTeX XMLCite \textit{C. Vonwirth}, Continuous-time portfolio optimization under partial information and convex constraints: deriving explicit results. Kaiserslautern: TU Kaiserslautern (Diss.) (2017; Zbl 1378.91006) Full Text: Link Link
Lin, Hongcan; Saunders, David; Weng, Chengguo Optimal investment strategies for participating contracts. (English) Zbl 1416.91205 Insur. Math. Econ. 73, 137-155 (2017). MSC: 91B30 93E20 60G44 PDFBibTeX XMLCite \textit{H. Lin} et al., Insur. Math. Econ. 73, 137--155 (2017; Zbl 1416.91205) Full Text: DOI
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Jeanblanc, Monique Controlling the occupation time of an exponential martingale. (English) Zbl 1378.93142 Appl. Math. Optim. 76, No. 2, 415-428 (2017). MSC: 93E20 49J55 49J30 60J65 60G48 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., Appl. Math. Optim. 76, No. 2, 415--428 (2017; Zbl 1378.93142) Full Text: DOI HAL
Bayraktar, Erhan; Yao, Song On the robust Dynkin game. (English) Zbl 1371.60071 Ann. Appl. Probab. 27, No. 3, 1702-1755 (2017). MSC: 60G40 93E20 49L20 91A15 91A55 60G44 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{S. Yao}, Ann. Appl. Probab. 27, No. 3, 1702--1755 (2017; Zbl 1371.60071) Full Text: DOI arXiv
Czichowsky, Christoph; Schachermayer, Walter Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. (English) Zbl 1414.91336 Ann. Appl. Probab. 27, No. 3, 1414-1451 (2017). MSC: 91G10 60G22 93E20 60G48 PDFBibTeX XMLCite \textit{C. Czichowsky} and \textit{W. Schachermayer}, Ann. Appl. Probab. 27, No. 3, 1414--1451 (2017; Zbl 1414.91336) Full Text: DOI arXiv
Lepinette, Emmanuel; Tran, Tuan Arbitrage theory for non convex financial market models. (English) Zbl 1377.91150 Stochastic Processes Appl. 127, No. 10, 3331-3353 (2017). MSC: 91G10 60G44 91B24 93E20 PDFBibTeX XMLCite \textit{E. Lepinette} and \textit{T. Tran}, Stochastic Processes Appl. 127, No. 10, 3331--3353 (2017; Zbl 1377.91150) Full Text: DOI HAL
Rezaee, Hamed; Abdollahi, Farzaneh Discrete-time consensus strategy for a class of high-order linear multiagent systems under stochastic communication topologies. (English) Zbl 1367.93029 J. Franklin Inst. 354, No. 9, 3690-3705 (2017). MSC: 93A14 90B15 68T42 93E03 PDFBibTeX XMLCite \textit{H. Rezaee} and \textit{F. Abdollahi}, J. Franklin Inst. 354, No. 9, 3690--3705 (2017; Zbl 1367.93029) Full Text: DOI
Karatzas, Ioannis; Ruf, Johannes Trading strategies generated by Lyapunov functions. (English) Zbl 1414.91343 Finance Stoch. 21, No. 3, 753-787 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 60G44 60H05 60H30 93D30 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{J. Ruf}, Finance Stoch. 21, No. 3, 753--787 (2017; Zbl 1414.91343) Full Text: DOI arXiv
Muthukumar, P.; Deepa, R. Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes. (English) Zbl 1360.49002 Stoch. Dyn. 17, No. 3, Article ID 1750020, 17 p. (2017). MSC: 49J15 60J65 93E20 PDFBibTeX XMLCite \textit{P. Muthukumar} and \textit{R. Deepa}, Stoch. Dyn. 17, No. 3, Article ID 1750020, 17 p. (2017; Zbl 1360.49002) Full Text: DOI
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien Risk-sensitive investment in a finite-factor model. (English) Zbl 1411.91474 Stochastics 89, No. 1, 89-114 (2017). MSC: 91G10 93E20 60J75 60G44 PDFBibTeX XMLCite \textit{G. Andruszkiewicz} et al., Stochastics 89, No. 1, 89--114 (2017; Zbl 1411.91474) Full Text: DOI arXiv Link
D’Auria, Bernardo; Salmerón, José Antonio Valuing the anticipative information on the stochastic short interest rates. arXiv:1711.03642 Preprint, arXiv:1711.03642 [q-fin.PR] (2017). MSC: 60G44 91B42 93E11 93E20 BibTeX Cite \textit{B. D'Auria} and \textit{J. A. Salmerón}, ``Valuing the anticipative information on the stochastic short interest rates'', Preprint, arXiv:1711.03642 [q-fin.PR] (2017) Full Text: arXiv OA License
Al-Hussein, Abdulrahman Necessary and sufficient conditions of optimal control for infinite dimensional SDEs. (Necessary and sufficient conditions of optimalcontrol for infinite dimensional SDEs.) (English) Zbl 1403.93192 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 149-171 (2016). MSC: 93E20 49K45 60H10 60G44 93C25 PDFBibTeX XMLCite \textit{A. Al-Hussein}, Springer Proc. Math. Stat. 158, 149--171 (2016; Zbl 1403.93192) Full Text: DOI arXiv
Bayraktar, Erhan; Zhou, Zhou Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. (English) Zbl 1357.91046 Ann. Appl. Probab. 26, No. 6, 3531-3558 (2016). MSC: 91G20 60G40 60G42 49L20 93E20 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{Z. Zhou}, Ann. Appl. Probab. 26, No. 6, 3531--3558 (2016; Zbl 1357.91046) Full Text: DOI arXiv Euclid
Lin, Yi-Shen A generalization of the Mabinogion sheep problem of D. Williams. (English) Zbl 1352.93104 J. Appl. Probab. 53, No. 4, 1240-1256 (2016). MSC: 93E20 60G42 93C65 PDFBibTeX XMLCite \textit{Y.-S. Lin}, J. Appl. Probab. 53, No. 4, 1240--1256 (2016; Zbl 1352.93104) Full Text: DOI Euclid
Draouil, Olfa; Øksendal, Bernt Optimal insider control and semimartingale decompositions under enlargement of filtration. (English) Zbl 1350.60065 Stochastic Anal. Appl. 34, No. 6, 1045-1056 (2016). MSC: 60H30 60H40 60H10 60G48 60H07 60H05 60J60 60J75 49J55 93E20 PDFBibTeX XMLCite \textit{O. Draouil} and \textit{B. Øksendal}, Stochastic Anal. Appl. 34, No. 6, 1045--1056 (2016; Zbl 1350.60065) Full Text: DOI arXiv
Bayraktar, Erhan; Li, Jiaqi Stochastic Perron for stochastic target problems. (English) Zbl 1346.93394 J. Optim. Theory Appl. 170, No. 3, 1026-1054 (2016). MSC: 93E20 49L20 49L25 60G46 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{J. Li}, J. Optim. Theory Appl. 170, No. 3, 1026--1054 (2016; Zbl 1346.93394) Full Text: DOI arXiv Link
De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel Consumption-investment problem with transaction costs for Lévy-driven price processes. (English) Zbl 1346.60101 Finance Stoch. 20, No. 3, 705-740 (2016). MSC: 60H30 60H10 60H20 49J55 49L20 49L25 93E20 60G51 60G44 91G80 PDFBibTeX XMLCite \textit{D. De Vallière} et al., Finance Stoch. 20, No. 3, 705--740 (2016; Zbl 1346.60101) Full Text: DOI arXiv
Armstrong, Scott N.; Zeitouni, Ofer Local asymptotics for controlled martingales. (English) Zbl 1346.60057 Ann. Appl. Probab. 26, No. 3, 1467-1494 (2016). MSC: 60G42 93E20 35K55 PDFBibTeX XMLCite \textit{S. N. Armstrong} and \textit{O. Zeitouni}, Ann. Appl. Probab. 26, No. 3, 1467--1494 (2016; Zbl 1346.60057) Full Text: DOI arXiv Euclid
Bayraktar, Erhan; Li, Jiaqi Stochastic Perron for stochastic target games. (English) Zbl 1337.93100 Ann. Appl. Probab. 26, No. 2, 1082-1110 (2016). MSC: 93E20 49L20 49L25 60G46 60H30 91A25 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{J. Li}, Ann. Appl. Probab. 26, No. 2, 1082--1110 (2016; Zbl 1337.93100) Full Text: DOI arXiv Euclid
Weston, Kim Stability of utility maximization in nonequivalent markets. (English) Zbl 1376.91157 Finance Stoch. 20, No. 2, 511-541 (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 60G44 91B16 93E15 PDFBibTeX XMLCite \textit{K. Weston}, Finance Stoch. 20, No. 2, 511--541 (2016; Zbl 1376.91157) Full Text: DOI arXiv
Claisse, Julien; Talay, Denis; Tan, Xiaolu A pseudo-Markov property for controlled diffusion processes. (English) Zbl 1341.60097 SIAM J. Control Optim. 54, No. 2, 1017-1029 (2016). MSC: 60J60 60G44 49L20 93E20 90C39 PDFBibTeX XMLCite \textit{J. Claisse} et al., SIAM J. Control Optim. 54, No. 2, 1017--1029 (2016; Zbl 1341.60097) Full Text: DOI arXiv
Beiglböck, Mathias; Juillet, Nicolas On a problem of optimal transport under marginal martingale constraints. (English) Zbl 1348.49045 Ann. Probab. 44, No. 1, 42-106 (2016). MSC: 49Q20 93E20 49J55 60G42 PDFBibTeX XMLCite \textit{M. Beiglböck} and \textit{N. Juillet}, Ann. Probab. 44, No. 1, 42--106 (2016; Zbl 1348.49045) Full Text: DOI arXiv Euclid
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan Facelifting in utility maximization. (English) Zbl 1369.91164 Finance Stoch. 20, No. 1, 99-121 (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 60G44 60H05 93E20 PDFBibTeX XMLCite \textit{K. Larsen} et al., Finance Stoch. 20, No. 1, 99--121 (2016; Zbl 1369.91164) Full Text: DOI arXiv
Bouchard, Bruno; Nutz, Marcel Consistent price systems under model uncertainty. (English) Zbl 1369.91200 Finance Stoch. 20, No. 1, 83-98 (2016). Reviewer: Paweł Kliber (Poznan) MSC: 91G99 91B25 60G42 93E20 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{M. Nutz}, Finance Stoch. 20, No. 1, 83--98 (2016; Zbl 1369.91200) Full Text: DOI arXiv
Hafayed, Mokhtar; Abba, Abdelmadjid; Abbas, Syed On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures. (English) Zbl 1332.93376 Int. J. Control 89, No. 2, 397-410 (2016). MSC: 93E20 60H10 PDFBibTeX XMLCite \textit{M. Hafayed} et al., Int. J. Control 89, No. 2, 397--410 (2016; Zbl 1332.93376) Full Text: DOI