Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems (Q4594363)
From MaRDI portal
scientific article; zbMATH DE number 6811879
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems |
scientific article; zbMATH DE number 6811879 |
Statements
Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems (English)
0 references
23 November 2017
0 references
forward-backward stochastic differential equation
0 references
monotonicity condition
0 references
stochastic optimal control
0 references
nonzero-sum stochastic differential game
0 references
linear-quadratic problem
0 references
