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Backward stochastic differential equations and its application to stochastic control
- 1.0349569 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Veverka, Petr
Backward stochastic differential equations and its application to stochastic control.
Stochastic and Physical Monitoring Systems 2010 - Proceedings. Praha: Nakladatelství ČVUT - výroba, 2010 - (Hobza, T.), s. 181-189. ISBN 978-80-01-04641-8.
[Stochastic and Physical Monitoring Systems 2010. Děčín (CZ), 27.06.2010-03.07.2010]
R&D Projects: GA ČR GD402/09/H045; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : BSDE * Stochastic control
Subject RIV: BA - General Mathematics
http://library.utia.cas.cz/separaty/2010/E/veverka-backward%20stochastic%20differential%20equations%20and%20its%20application%20to%20stochastic%20control.pdf
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.
Permanent Link: http://hdl.handle.net/11104/0189770
Number of the records: 1