Dynamic Programming and a Verification Theorem for the Recursive Stochastic Control Problem of Jump-Diffusion Models With Random Coefficients
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Publication:6053156
DOI10.1109/TAC.2021.3131097OpenAlexW3216053069MaRDI QIDQ6053156
Publication date: 26 September 2023
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.2021.3131097
random coefficientsverification theoremforward and backward stochastic differential equations (BSDE) with jump diffusionsintegro-type stochastic PDE
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