Stochastic controls and forward-backward SDEs (Q2712237)

This paper gives a short survey on the work done by the people from the Fudan group related to stochastic control and forward-backward stochastic differential equations.NEWLINENEWLINENEWLINEAfter the introduction of the maximum principle (minimization of a cost function subject to a controlled stochastic system), it looks at the relation between the maximum principle and dynamic programming. A verification theorem gives sufficient conditions for an admissible pair to be optimal. Further, the stochastic maximum principle and the pricing of European type contingent claims are treated.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].