A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs (Q2956064): Difference between revisions
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Revision as of 19:05, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs |
scientific article |
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A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs (English)
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16 January 2017
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stochastic control
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forward-backward SDEs
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stochastic HJB equation
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comparison principle
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portfolio optimization
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risk minimization
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