The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.
This paper studies the existence and uniqueness of solutions of fully coupled forward-backward stochastic differential equations with Brownian motion and random jumps.The result is applied to solve a linear-quadratic optimal control and a nonzero-sum differential game of backward stochastic differential equations.The optimal control and Nash equilibrium point are explicitly derived. Also the solvability of a kind Riccati equations is discussed.All these results develop those of Lim, Zhou(2001) and Yu,Ji(2008).
This paper is concerned with a stochastic linear quadratic(LQ) optimal control with partial information where ...
Wang Guangchen1,Wu Zhen2 1.School of Mathematical Sciences,Shandong Normal University,Jinan 250014,P.R.China 2.School of Mathematics and System Sciences,Shandong University,Jinan 250100,P.R.China
In this paper,we deal with one kind of stochastic nonzero-sum differential game problem for N players.Using th...
Wu Zhen 1,Yu Zhiyong2 1.School of Mathematics and System Sciences,Shandong University,Jinan 250100,P.R.China2.School of Mathematics and System Sciences,Shandong University,Jinan 250100,P.R.China and School of Economics,Shandong University,Jinan 250100,P.R.China
