Solution to Forward–Backward Stochastic Differential Equations With Random Coefficients and Application to Deterministic Optimal Control (Q6053208)
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scientific article; zbMATH DE number 7742184
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solution to Forward–Backward Stochastic Differential Equations With Random Coefficients and Application to Deterministic Optimal Control |
scientific article; zbMATH DE number 7742184 |
Statements
Solution to Forward–Backward Stochastic Differential Equations With Random Coefficients and Application to Deterministic Optimal Control (English)
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26 September 2023
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coupled stochastic Riccati-type differential equations
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discretization
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linear coupled forward-backward stochastic differential equations (FBSDEs)
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random coefficients
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