Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.
Existence and uniqueness results for bsde with jumps: the whole nine yards
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
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.