Dual formulation of second order target problems

DOI10.1214/12-AAP844zbMath1293.60063arXiv1003.6050OpenAlexW2125555288WikidataQ57635877 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

dualitybackward stochastic differential equationstochastic target problemmutually singular measuresaggregation of random variables

Mathematics Subject Classification ID

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

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