Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.
Backward stochastic differential equations and applications to opti- mal control.Applied Mathematics and Optimization, 27(2):125–144
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Stochastic control with self-exciting processes
Derives sufficient and necessary stochastic maximum principles for control of SDEs driven by self-exciting processes and applies the result to log-utility.