FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS
MetadataShow full item record
This paper studies the first order backward stochastic partial differential equations suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogues of Hamilton--Jacobi--Bellman equations and allow one to construct the value function for stochastic optimal control problems with unspecified dynamics where the underlying processes do not necessarily satisfy stochastic differential equations of a known kind with a given structure. The problems considered arise in financial modeling.
Copyright © 2017 Society for Industrial and Applied Mathematics
Showing items related by title, author, creator and subject.
Validation of two Framingham cardiovascular risk prediction algorithms in an Australian population: The 'old' versus the 'new' Framingham equationZomer, E.; Owen, A.; Magliano, D.; Liew, D.; Reid, Christopher (2011)Background: Multivariable risk prediction equations attempt to quantify an individual's cardiovascular risk. Those borne from the Framingham Heart Study remain the most well-established and widely used. In February 2008, ...
Numerical Solution of Second-Order Linear Fredholm Integro-Differential Equation Using Generalized Minimal Residual MethodAruchunan, Elayaraja; Sulaiman, J. (2010)This research purposely brought up to solve complicated equations such as partial differential equations, integral equations, Integro-Differential Equations (IDE), stochastic equations and others. Many physical phenomena ...
Comparison of predictive performance of renal function estimation equations for all-cause and cardiovascular mortality in an elderly hypertensive populationChowdhury, E.; Langham, R.; Owen, A.; Krum, H.; Wing, L.; Nelson, M.; Reid, Christopher; Second Australian National Blood Pressure Study Management Committeem (2015)BACKGROUND: The Modifications of Diet in Renal Disease (MDRD) and Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) are 2 equations commonly used to estimate glomerular filtration rate (eGFR). The predictive ...