Optimal stochastic control, stochastic target problems, and backward SDE.

DOI10.1007/978-1-4614-4286-8zbMath1256.93008OpenAlexW592962635MaRDI QIDQ424646

Publication date: 4 June 2012

Published in: Fields Institute Monographs (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-4286-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equation dynamic programming finite difference method viscosity solution Black-Scholes model backward stochastic differential equation illiquidity financial mathematics quantile hedging optimal stochastic control stochastic target problem Ito's formula quantitative finance superhedging problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Dynamical systems in optimization and economics (37N40) Viscosity solutions to PDEs (35D40)

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