G. Peskir and J. Shorish, “Market Forces and Dynamic Asset Pricing,” Stochastic Analysis and Applications, Vol. 20, No. 5, 2002, pp. 1027-1082.http://dx.doi.org/10.1081/SAP-120014553
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.