scientific article; zbMATH DE number 850089

zbMath0843.60054MaRDI QIDQ4866103

Etienne Pardoux

Publication date: 18 August 1996

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionFeynman-Kac formulabackward stochastic differential equationmaximum principle for optimal stochastic controlmodel for asset pricing in finance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Geometric probability and stochastic geometry (60D05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (2)

Backward representation of Markov jump processes and related problems. I. Optimal linear estimation ⋮ BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

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