4 citations · 7 across the 3 of their papers we have counts for
3 papers
math.OC2012★ 1 cited
A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales
Jianzhong Lin
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are co…
math.PR2012★ 2 cited
Backward Stochastic Differential Equations and Feynman-Kac Formula for Multidimensional Lévy Processes, with Applications in Finance
Jianzhong Lin
In this paper we show the existence and form uniqueness of a solution for multidimensional backward stochastic differential equations driven by a multidimensional Lévy process with…
math.PR2011★ 4 cited
Chaotic and Predictable Representations for Multidimensional Lévy Processes
Jianzhong Lin
For a general Multidimensional Lévy process (satisfying some moment conditions), we introduce the Multidimensional power jump processes and the related Multidimensional Teugels mar…