scientific article; zbMATH DE number 6868025
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Publication:4639873
zbMath1387.93185MaRDI QIDQ4639873
Publication date: 14 May 2018
Full work available at URL: http://www.jnmas.org/jnmas9-4.pdf
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variational principlebackward stochastic differential equationssufficient optimality conditionslogarithmic transformationrisk-sensitive
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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