Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.
Stochastic optimal control of a doubly nonlinear pde driven by multiplicative l´ evy noise.Applied Mathematics & Optimization, 87(1):7
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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.