Počet záznamů: 1

Backward stochastic differential equations and its application to stochastic control

  1. 1.
    0349569 - UTIA-B 2011 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    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]
    Grant CEP: GA ČR GD402/09/H045; GA ČR GAP402/10/1610
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: BSDE * Stochastic control
    Kód oboru RIV: BA - Obecná matematika
    http://library.utia.cas.cz/separaty/2010/E/veverka-backward%20stochastic%20differential%20equations%20and%20its%20application%20to%20stochastic%20control.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0189770