The Dynamic Programming Equation for Second Order Stochastic Target Problems
نویسندگان
چکیده
منابع مشابه
The Dynamic Programming Equation for Second Order Stochastic Target Problems
Motivated by applications in mathematical finance [3] and stochastic analysis [16], we continue our study of second order backward stochastic equations (2BSDE). In this paper, we derive the dynamic programming equation for a certain class of problems which we call as the second order stochastic target problems. In contrast with previous formulations of similar problems, we restrict control proc...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2009
ISSN: 0363-0129,1095-7138
DOI: 10.1137/07071130x