First Order BSPDEs in Higher Dimension for Optimal Control Problems
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Publication:5347542
DOI10.1137/16M1075983zbMath1414.91434arXiv1603.06825MaRDI QIDQ5347542
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.06825
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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