The second order minimum principle and adjoint process

DOI10.1080/17442509408833867zbMath0824.60051OpenAlexW2075814052WikidataQ126240331 ScholiaQ126240331MaRDI QIDQ4840912

Michael Kohlmann, Robert J. Elliott

Publication date: 31 October 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833867

zbMATH Keywords

diffusionbackward stochastic differential equationsminimum principlestochastic flowadjoint processexistence and uniqueness resultsMalliavin matrix

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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