Backward stochastic viability and related properties on \(Z\) for BSDEs with applications
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Publication:2439873
DOI10.1007/s11424-012-0083-8zbMath1292.93123OpenAlexW2001102834MaRDI QIDQ2439873
Publication date: 18 March 2014
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-012-0083-8
Malliavin calculusbackward stochastic differential equationsportfolio choicebackward stochastic viability property
Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (3)
Higher order differentiability of solutions to backward stochastic differential equations ⋮ On the partial controllability of SDEs and the exact controllability of FBSDES ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
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