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20122020
most citedPath-Dependent Optimal Stochastic Control and Viscosity Solution of Associated Bellman Equations

4 citations · 8 across the 5 of their papers we have counts for

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math.OC2018

Backward Stochastic Riccati Equation with Jumps associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients

Fu Zhang, Yuchao Dong, Qingxin Meng

In this paper, we investigate the solvability of matrix valued Backward stochastic Riccati equations with jumps (BSREJ), which is associated with a stochastic linear quadratic (SLQ…