A stochastic maximum principle for backward control systems with random default time

DOI10.1080/00207179.2013.767941zbMath1278.49032MaRDI QIDQ2871780

Tak Kuen Siu, Yang Shen

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

zbMATH Keywords

backward stochastic differential equations; stochastic maximum principle; random default time; backward control systems

Mathematics Subject Classification ID

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

91B70: Stochastic models in economics

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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