Name
Abstract | ||
|---|---|---|
This paper establishes a necessary and sufficient stochastic maximum principle for backward systems, where the state processes are governed by jump-diffusion backward stochastic differential equations with random default time. An application of the sufficient stochastic maximum principle to an optimal investment and capital injection problem in the presence of default risk is discussed. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1080/00207179.2013.767941 | INTERNATIONAL JOURNAL OF CONTROL |
Keywords | Field | DocType |
stochastic maximum principle, backward control systems, random default time, backward stochastic differential equations | Stochastic optimization,Mathematical optimization,Maximum principle,Default risk,Stochastic differential equation,Stochastic modelling,Control system,Mathematics | Journal |
Volume | Issue | ISSN |
86 | 5 | 0020-7179 |
Citations | PageRank | References |
0 | 0.34 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yang Shen | 1 | 11 | 3.54 |
| Tak Kuen Siu | 2 | 114 | 20.25 |