Adapted solution of a backward stochastic differential equation
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Publication:584199
DOI10.1016/0167-6911(90)90082-6zbMath0692.93064OpenAlexW2078895915WikidataQ115363787 ScholiaQ115363787MaRDI QIDQ584199
Publication date: 1990
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6911(90)90082-6
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03) Optimality conditions for problems involving randomness (49K45)
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