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  • In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), provide fundamental theorems of existence and uniqueness of the solution for some essential cases and we show by example its important connections to financial mathematics. Finally, we focus on vast applications of BSDE to stochastic control via Pontryagin's maximum principle.
  • In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), provide fundamental theorems of existence and uniqueness of the solution for some essential cases and we show by example its important connections to financial mathematics. Finally, we focus on vast applications of BSDE to stochastic control via Pontryagin's maximum principle. (en)
Title
  • Backward stochastic differential equations and its application to stochastic control
  • Backward stochastic differential equations and its application to stochastic control (en)
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  • Backward stochastic differential equations and its application to stochastic control
  • Backward stochastic differential equations and its application to stochastic control (en)
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  • RIV/67985556:_____/10:00349569!RIV11-GA0-67985556
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  • P(GAP402/10/1610), P(GD402/09/H045), S, Z(AV0Z10750506)
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  • 248340
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  • RIV/67985556:_____/10:00349569
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  • BSDE; Stochastic control (en)
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http://linked.open...ontrolniKodProRIV
  • [5F7117DA648B]
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  • Děčín
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  • Praha
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  • Stochastic and Physical Monitoring Systems 2010 - Proceedings
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  • Veverka, Petr
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  • Nakladatelství ČVUT - výroba
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  • 978-80-01-04641-8
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