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Backward stochastic differential equations and applications to optimal control

โœ Scribed by Shige Peng


Publisher
Springer
Year
1993
Tongue
English
Weight
857 KB
Volume
27
Category
Article
ISSN
0095-4616

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On solutions to backward stochastic part
โœ Qing Zhou; Yong Ren; Weixing Wu ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 261 KB

In this paper, we prove the existence and uniqueness of the solution for a class of backward stochastic partial differential equations (BSPDEs, for short) driven by the Teugels martingales associated with a Lรฉvy process satisfying some moment conditions and by an independent Brownian motion. An exam