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The financial market with Knightian uncertainty is studied. Applying the important theories of backward stochastic differential equation and the method of time-risk discount, the dynamic robust pricing model of reload stock option has been studied. The explicit solution of the model has been given. At last, the article takes the stock of Sinopec as example to perform numerical analysis. The paper...
This paper is concerned with the relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems. Under the assumption that the value function is enough smooth, we give relations among the adjoint processes, the generalized Hamiltonian function and the value function. An LQ recursive utility portfolio optimization problem in the financial...
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