The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
Work
Year: 2020
Type: article
Abstract: In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump t... more
Authors Yuanzhuo Song, Shanjian Tang, Zhen Wu
Cites: 3
Cited by: 15
Related to: 10
FWCI: 2.829
Citation percentile (by year/subfield): 82.45
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China, Natural Science Foundation of Shandong Province
Grant IDS 61961160732, 11631104, 11831010, ZR2019ZD42