A stochastic HJB equation for optimal control of forward-backward SDEs (Q2956064)
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scientific article; zbMATH DE number 6675058
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| English | A stochastic HJB equation for optimal control of forward-backward SDEs |
scientific article; zbMATH DE number 6675058 |
Statements
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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0.8707594871520996
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0.8398183584213257
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0.8384029865264893
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0.8366008996963501
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