Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
Author:
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Control and Optimization,Computer Networks and Communications,Hardware and Architecture,Software
Reference24 articles.
1. Backward stochastic differential equations and integral-partial differential equations
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4. S. Crepey, About the pricing equations in finance, Paris-Princeton Lectures on Mathematical Finance 2010, Springer, 2011.
S. Crepey, About the pricing equations in finance, Paris-Princeton Lectures on Mathematical Finance 2010, Springer, 2011.
5. Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison
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