Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (Q4507415): Difference between revisions
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Latest revision as of 11:17, 30 July 2024
scientific article; zbMATH DE number 1519315
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach |
scientific article; zbMATH DE number 1519315 |
Statements
Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (English)
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18 October 2000
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backward stochastic differential equation
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stochastic control
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linear quadratic control
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stochastic Riccati equation
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Black-Scholes model
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