Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.
Mean-variance hedging via stochastic control and bsdes for general semimartin- gales.The Annals of Applied Probability, pages 2388–2428
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Stochastic control with self-exciting processes
Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.