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

DOI10.1137/050633548zbMath1125.93069OpenAlexW2082716527MaRDI 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 controlbackward stochastic differential equations

Mathematics Subject Classification ID

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

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