most citedSufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to Financial optimization

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q-fin.PM2014

On the role of Föllmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management

Amogh Deshpande

Kuroda and Nagai \cite{KN} state that the factor process in the Risk Sensitive control Asset Management (RSCAM) is stable under the Föllmer-Schweizer minimal martingale measure . F…