Optimal position targeting via decoupling fields
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Publication:2192736
DOI10.1214/19-AAP1511zbMath1445.49001MaRDI QIDQ2192736
Stefan Ankirchner, Thomas Kruse, Alexandre Popier, Alexander Fromm
Publication date: 17 August 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1591603218
calculus of variationsoptimal stochastic controldecoupling fieldforward backward stochastic differential equation
Optimal stochastic control (93E20) Stochastic processes (60G99) Optimality conditions for problems involving ordinary differential equations (49K15) Stochastic analysis (60H99) Existence theories for free problems in one independent variable (49J05)
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