Backward Stochastic Differential Equations and its Application to Stochastic Control
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F10%3A00176600" target="_blank" >RIV/68407700:21340/10:00176600 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Backward Stochastic Differential Equations and its Application to Stochastic Control
Original language description
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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Doktorandské dny 2010
ISBN
978-80-01-04644-9
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
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Publisher name
Česká technika - nakladatelství ČVUT
Place of publication
Praha
Event location
Praha
Event date
Nov 19, 2010
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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