Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
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Publication:4507415
DOI10.1137/S036301299834973XzbMath0960.60052OpenAlexW2050593112MaRDI QIDQ4507415
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Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s036301299834973x
stochastic controlBlack-Scholes modelbackward stochastic differential equationstochastic Riccati equationlinear quadratic control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80)
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