A stochastic maximum principle for backward control systems with random default time
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Publication:2871780
DOI10.1080/00207179.2013.767941zbMath1278.49032OpenAlexW2052391451MaRDI QIDQ2871780
Publication date: 9 January 2014
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2013.767941
backward stochastic differential equationsstochastic maximum principlerandom default timebackward control systems
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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