scientific article; zbMATH DE number 953302
From MaRDI portal
Publication:4718249
zbMath0870.60074MaRDI QIDQ4718249
Publication date: 7 January 1997
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60)
Related Items
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. ⋮ Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ Nonanticipative risk sensitive control: the martingale method. ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ Derivatives pricing viap-optimal martingale measures: some extreme cases ⋮ Multidimensional quadratic and subquadratic BSDEs with special structure