On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth

DOI10.1137/050633548zbMath1125.93069MaRDI QIDQ5294585

Ying Hu, Marco Fuhrman, Gianmario Tessitore

Publication date: 25 July 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/661818

zbMATH Keywords

stochastic optimal control; backward stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

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