Optimal position targeting via decoupling fields

DOI10.1214/19-AAP1511zbMath1445.49001MaRDI QIDQ2192736

Stefan Ankirchner, Thomas Kruse, Alexandre Popier, Alexander Fromm

Publication date: 17 August 2020

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

Full work available at URL: https://projecteuclid.org/euclid.aoap/1591603218

zbMATH Keywords

calculus of variationsoptimal stochastic controldecoupling fieldforward backward stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99) Optimality conditions for problems involving ordinary differential equations (49K15) Stochastic analysis (60H99) Existence theories for free problems in one independent variable (49J05)

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