Backward stochastic differential equations with constraints on the gains-process

DOI10.1214/aop/1022855872zbMath0935.60039OpenAlexW1846487531MaRDI QIDQ1307453

Ioannis Karatzas, Jakša Cvitanić, Halil Mete Soner

Publication date: 4 May 2000

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1022855872

zbMATH Keywords

stochastic controlbackward stochastic differential equationsconvex constraints

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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