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N. C. Framstad, B. Oksendal and A. Sulem, “A Sufficient Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Applications to Finance,” Journal of Optimization Theory and Applications, Vol. 121, No. 1, 2004, pp. 77-98.
http://dx.doi.org/10.1023/B:JOTA.0000026132.62934.96

has been cited by the following article:

• TITLE: Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications

  AUTHORS: Jingtao Shi

  KEYWORDS: Stochastic Optimal Control; Stochastic Differential Games; Dynamic Programming; Maximum Principle; Portfolio Optimization; Model Uncertainty

  JOURNAL NAME: American Journal of Operations Research, Vol.3 No.6, October 24, 2013

  ABSTRACT: This paper is concerned with the relationship between maximum principle and dynamic programming in zero-sum stochastic differential games. Under the assumption that the value function is enough smooth, relations among the adjoint processes, the generalized Hamiltonian function and the value function are given. A portfolio optimization problem under model uncertainty in the financial market is discussed to show the applications of our result.