Robust Control Problems of BSDEs Coupled with Value Functions (Q6169621)
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scientific article; zbMATH DE number 7726719
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Control Problems of BSDEs Coupled with Value Functions |
scientific article; zbMATH DE number 7726719 |
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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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