Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (Q5298846): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q2025186 |
Changed an Item |
||
Property / author | |||
Property / author: Yu-hong Xu / rank | |||
Normal rank |
Revision as of 11:08, 1 March 2024
scientific article; zbMATH DE number 6180380
Language | Label | Description | Also known as |
---|---|---|---|
English | Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations |
scientific article; zbMATH DE number 6180380 |
Statements
Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (English)
0 references
24 June 2013
0 references
backward stochastic differential equation
0 references
Feynman-Kac formula
0 references
functional Itō calculus
0 references
\(G\)-expectation
0 references
\(G\)-martingale
0 references
Hamilton-Jacobi-Bellman equation
0 references
path-dependent partial differential equation
0 references
uncertainty volatility model
0 references