Original title: Backward stochastic differential equations and its application to stochastic control
Authors: Veverka, Petr
Document type: Papers
Conference/Event: Stochastic and Physical Monitoring Systems 2010, Děčín (CZ), 2010-06-27 / 2010-07-03
Year: 2010
Language: eng
Abstract: 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.
Keywords: BSDE; Stochastic control
Project no.: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR, GA ČR
Host item entry: Stochastic and Physical Monitoring Systems 2010 - Proceedings, ISBN 978-80-01-04641-8

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2010/E/veverka-backward%20stochastic%20differential%20equations%20and%20its%20application%20to%20stochastic%20control.pdf
Original record: http://hdl.handle.net/11104/0189770

Permalink: http://www.nusl.cz/ntk/nusl-41842


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Conference materials > Papers