Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

Backward stochastic differential equations and its application to stochastic control

Veverka Petr

: Stochastic and Physical Monitoring Systems 2010 - Proceedings, p. 181-189 , Eds: Hobza Tomáš

: Stochastic and Physical Monitoring Systems 2010, (Děčín, CZ, 27.06.2010-03.07.2010)

: CEZ:AV0Z10750506

: GD402/09/H045, GA ČR, GAP402/10/1610, GA ČR

: BSDE, Stochastic control

: http://library.utia.cas.cz/separaty/2010/E/veverka-backward%20stochastic%20differential%20equations%20and%20its%20application%20to%20stochastic%20control.pdf

(eng): 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.

: BA

2019-01-07 08:39