Existence and optimality conditions in stochastic control of linear BSDEs (Q3103219): Difference between revisions

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+MaRDI publication profile
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+Conjugate convex functions in optimal stochastic control
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+Stochastic controls with terminal contingent conditions
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+Backward Stochastic Differential Equations in Finance
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+Existence results for optimal stochastic controls
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+Adapted solution of a backward stochastic differential equation
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+Backward stochastic differential equations and applications to optimal control
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+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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+Stochastic maximum principle for optimal control problem of forward and backward system
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