Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (Q5298846)
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scientific article; zbMATH DE number 6180380
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations |
scientific article; zbMATH DE number 6180380 |
Statements
Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (English)
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24 June 2013
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backward stochastic differential equation
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Feynman-Kac formula
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functional Itō calculus
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\(G\)-expectation
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\(G\)-martingale
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Hamilton-Jacobi-Bellman equation
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path-dependent partial differential equation
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uncertainty volatility model
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