Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application (Q1684177)
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scientific article; zbMATH DE number 6816646
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application |
scientific article; zbMATH DE number 6816646 |
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Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application (English)
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8 December 2017
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backward stochastic differential equation
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risk-sensitive
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stochastic maximum principle
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adjoint equation
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variational principle
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logarithmic transformation
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