Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.
Generalized bsdes driven by rcll martingales with stochastic monotone coefficients.Modern Stochastics: Theory and Applications, 11(1):109–128
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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.