Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations (Q2495721)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations |
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Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations (English)
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30 June 2006
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This paper presents an analysis of the solution of a one-dimensional backward stochastic differential equation with the value process of a differential game. A number of theorems and lemmas are presented for the theoretical foundation but no numerical experiments are presented for validation.
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stochastic
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differential games
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dynamic evaluation
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