Publication:4866103
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zbMath0843.60054MaRDI QIDQ4866103
Publication date: 18 August 1996
Brownian motion; Feynman-Kac formula; backward stochastic differential equation; maximum principle for optimal stochastic control; model for asset pricing in finance
62P05: Applications of statistics to actuarial sciences and financial mathematics
60D05: Geometric probability and stochastic geometry
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
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