On some recent aspects of stochastic control and their applications

DOI10.1214/154957805100000195zbMath1189.93146arXivmath/0509711OpenAlexW2097820864MaRDI QIDQ980747

Huyên Pham

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

zbMATH Keywords

maximum principledynamic programmingbackward stochastic differential equationsfinanceviscosity solutionscontrolled diffusions

Mathematics Subject Classification ID

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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