Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/S0363012996313549
Reference16 articles.
1. Backward-Forward Stochastic Differential Equations
2. Stochastic maximum principle for distributed parameter systems
3. An Introductory Approach to Duality in Optimal Stochastic Control
4. Asset Pricing with Stochastic Differential Utility
5. Black's Consol Rate Conjecture
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