Robust Control Problems of BSDEs Coupled with Value Functions (Q6169621): Difference between revisions

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Latest revision as of 14:13, 2 August 2024

scientific article; zbMATH DE number 7726719
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English
Robust Control Problems of BSDEs Coupled with Value Functions
scientific article; zbMATH DE number 7726719

    Statements

    Robust Control Problems of BSDEs Coupled with Value Functions (English)
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    15 August 2023
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    robust control problems
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    ambiguity
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    Heston models
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    backward stochastic differential equations coupled with value functions
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    Hamilton-Jacobi-Bellman-Isaacs equations
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    verification theorem
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