A stochastic maximum principle for backward control systems with random default time

DOI10.1080/00207179.2013.767941zbMath1480.93447OpenAlexW2052391451MaRDI QIDQ5022829

Yang Shen, Tak Kuen Siu

Publication date: 19 January 2022

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2013.767941

zbMATH Keywords

backward stochastic differential equationsstochastic maximum principlerandom default timebackward control systems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time

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