Stochastic control for a class of nonlinear kernels and applications

DOI10.1214/17-AOP1191zbMath1393.60064arXiv1510.08439OpenAlexW2963090175MaRDI QIDQ1747758

Chao Zhou, Dylan Possamaï, Xiaolu Tan

Publication date: 27 April 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.08439

zbMATH Keywords

stochastic controlmeasurable selectionpath dependent PDEssecond-order BSDEsnonlinear kernelsrobust super-hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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