Robust Control Problems of BSDEs Coupled with Value Functions
DOI10.1137/22m1511977zbMath1520.91378arXiv2208.10735MaRDI QIDQ6169621
Zhou Yang, Jing Zhang, Chao Zhou
Publication date: 15 August 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2208.10735
ambiguityverification theoremrobust control problemsHamilton-Jacobi-Bellman-Isaacs equationsbackward stochastic differential equations coupled with value functionsHeston models
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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