Backward stochastic differential equations and its application to stochastic control

被引：0
作者：
Veverka, Petr [1 ,2 ]
机构：
[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, Dept Econometry, Vodarenskou Vezi 4, Prague 8, Czech Republic
[2] Czech Tech Univ, Fac Nucl Sci & Phys Engn, Dept Math, Prague 1, Czech Republic
来源：
SPSM 2010: STOCHASTIC AND PHYSICAL MONITORING SYSTEMS | 2010年
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D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：181 / 189
页数：9
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