Semimartingale backward equations with convex generator

MaRDI QIDQ2904080zbMATH OpenFDO

Authors Besik Chikvinidze

Publication date 5 August 2012

Published in Bulletin of the Georgian National Academy of Sciences. New Series (Search for Journal in Brave)

zbMATH Keywords

semimartingaleoptimization problembackward equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(2)

• Backward stochastic differential equations with a convex generator
• Convexity bounds for BSDE solutions, with applications to indifference valuation

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