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Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
Sennewald, Ken, (2005)
Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael, (2000)
Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael, (1999)
"Ito's Lemma" and the Bellman equation for poisson processes : an applied view
Sennewald, Ken, (2006)
"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view