On some recent aspects of stochastic control and their applications
DOI10.1214/154957805100000195zbMath1189.93146arXivmath/0509711OpenAlexW2097820864MaRDI QIDQ980747
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0509711
maximum principledynamic programmingbackward stochastic differential equationsfinanceviscosity solutionscontrolled diffusions
Dynamic programming in optimal control and differential games (49L20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Existence theories for optimal control problems involving partial differential equations (49J20)
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