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

DOI10.1007/978-1-4614-4286-8MaRDI QIDQ424646zbMATH OpenOpenAlexFDO

Authors Nizar Touzi

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

dynamic programmingbackward stochastic differential equationfinancial mathematicsfinite difference methodHamilton-Jacobi-Bellman equationoptimal stochastic controlquantile hedgingviscosity solutionBlack-Scholes modelilliquiditystochastic target problemIto's formulaquantitative financesuperhedging problem

Mathematics Subject Classification ID

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

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