Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
type: Item
instance of: scholarly article
title: Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
zbMATH Open document ID: 1375.60100
author: Adel Chala
published in: Bulletin of the Brazilian Mathematical Society. New Series
publication date: 2017-12-08T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6816646
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: risk-sensitive
zbMATH Keywords: stochastic maximum principle
zbMATH Keywords: adjoint equation
zbMATH Keywords: variational principle
zbMATH Keywords: logarithmic transformation
MaRDI profile type: Publication
full work available at URL: s00574-017-0031-2
OpenAlex ID: W2591350062
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cites work: Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
DOI: 10.1007/S00574-017-0031-2
description: scientific article; zbMATH DE number 6816646