FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS
dc.contributor.author | Dokuchaev, Nikolai | |
dc.date.accessioned | 2017-06-23T03:00:46Z | |
dc.date.available | 2017-06-23T03:00:46Z | |
dc.date.created | 2017-06-19T03:39:34Z | |
dc.date.issued | 2017 | |
dc.identifier.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. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/53664 | |
dc.identifier.doi | 10.1137/16M1075983 | |
dc.description.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. | |
dc.publisher | Society for Industrial and Applied Mathematics | |
dc.title | FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS | |
dc.type | Journal Article | |
dcterms.source.volume | 55 | |
dcterms.source.number | 2 | |
dcterms.source.startPage | 818 | |
dcterms.source.endPage | 834 | |
dcterms.source.issn | 0363-0129 | |
dcterms.source.title | SIAM Journal on Control and Optimization | |
curtin.note |
Copyright © 2017 Society for Industrial and Applied Mathematics | |
curtin.department | Department of Mathematics and Statistics | |
curtin.accessStatus | Open access |