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Cited article:

Stochastic Linear Quadratic Optimal Control Problems with Regime-Switching Jumps in Infinite Horizon

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SIAM Journal on Control and Optimization 63 (2) 852 (2025)
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Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations

Heping Ma and Weifeng Wang
Optimal Control Applications and Methods 43 (2) 532 (2022)
https://doi.org/10.1002/oca.2833

Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

Jun Moon
International Journal of Robust and Nonlinear Control 31 (6) 2141 (2021)
https://doi.org/10.1002/rnc.5358

A BSDE approach for bond pricing under interest rate models with self-exciting jumps

Zhongyang Sun, Xin Zhang and Ya-Nan Li
Communications in Statistics - Theory and Methods 50 (14) 3249 (2021)
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Equilibrium for a Time-Inconsistent Stochastic Linear–Quadratic Control System with Jumps and Its Application to the Mean-Variance Problem

Zhongyang Sun and Xianping Guo
Journal of Optimization Theory and Applications 181 (2) 383 (2019)
https://doi.org/10.1007/s10957-018-01471-x

The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system

Zhongyang Sun and Olivier Menoukeu-Pamen
Stochastic Analysis and Applications 36 (5) 782 (2018)
https://doi.org/10.1080/07362994.2018.1465824

Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information

Olivier Menoukeu Pamen
Journal of Optimization Theory and Applications 175 (2) 373 (2017)
https://doi.org/10.1007/s10957-017-1144-x