A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
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Publication:5080488
DOI10.1137/21M140609XzbMATH Open1490.60162MaRDI QIDQ5080488FDOQ5080488
Authors: Jinhui Han, Sheung Chi Phillip Yam 
Publication date: 31 May 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
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Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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