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    FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS

    252498.pdf (378.2Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2017
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Dokuchaev, N. 2017. First Order BSPDEs in Higher Dimension for Optimal Control Problems. SIAM Journal on Control and Optimization. 55 (2): pp. 818-834.
    Source Title
    SIAM Journal on Control and Optimization
    DOI
    10.1137/16M1075983
    ISSN
    0363-0129
    School
    Department of Mathematics and Statistics
    Remarks

    Copyright © 2017 Society for Industrial and Applied Mathematics

    URI
    http://hdl.handle.net/20.500.11937/53664
    Collection
    • Curtin Research Publications
    Abstract

    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.

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