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%3A00177150" target="_blank" >RIV/68407700:21340/10:00177150 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/10:00349569
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
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
S - Specificky vyzkum na vysokych skolach
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
SPMS 2010 Stochastic and Physical Monitoring Systems
ISBN
978-80-01-04641-8
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
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Publisher name
ČVUT
Place of publication
Praha
Event location
Děčín
Event date
Jun 27, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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