Dual formulation of second order target problems

DOI10.1214/12-AAP844zbMath1293.60063arXiv1003.6050WikidataQ57635877 ScholiaQ57635877MaRDI QIDQ1948690

Halil Mete Soner, Nizar Touzi, Jianfeng Zhang

Publication date: 24 April 2013

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

Full work available at URL: https://arxiv.org/abs/1003.6050

zbMATH Keywords

duality; backward stochastic differential equation; stochastic target problem; mutually singular measures; aggregation of random variables

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

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