scientific article; zbMATH DE number 953302

MaRDI QIDQ4718249zbMATH OpenFDO

Authors R. Chitashvili, M. Mania

Publication date 7 January 1997

zbMATH Keywords

control of diffusionsItô processesMarkovian controlsstochastic differential equationsweak solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Optimal stochastic control (93E20)

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• Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
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• Multidimensional quadratic and subquadratic BSDEs with special structure
• Controlled diffusion processes. Translated by A. B. Aries
• Reflecting Ito Processes in a Stochastic Control Problem
• Derivatives pricing viap-optimal martingale measures: some extreme cases
• A generalization of the Itô formula
• No arbitrage assumption implies the differentiability of the derivative pricing function
• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition

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