Skip to Main content Skip to Navigation
Book sections

A stochastic HJB equation for optimal control of forward-backward SDEs

Bernt Øksendal 1 Agnès Sulem 2 Tusheng Zhang 3 
1 CMA - Center of Mathematics for Applications [Oslo]
2 MATHRISK - Mathematical Risk Handling
UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech, Inria de Paris
3 School of Mathematics - Department of Mathematics [Manchester]
Document type :
Book sections
Complete list of metadata
https://hal.inria.fr/hal-01406655
Contributor : Martine Verneuille Connect in order to contact the contributor
Submitted on : Thursday, December 1, 2016 - 2:16:44 PM
Last modification on : Wednesday, June 8, 2022 - 12:50:03 PM

Identifiers

  • HAL Id : hal-01406655, version 1

Collections

ENPC | UPEC-UPEM | INRIA | INSMI | PARISTECH | INRIA2

Citation

Bernt Øksendal, Agnès Sulem, Tusheng Zhang. A stochastic HJB equation for optimal control of forward-backward SDEs. The Fascination of Probability, Statistics and their Applications, Springer Verlag, pp.11, 2016. ⟨hal-01406655⟩

Export

BibTeX TEI DC DCterms EndNote Datacite

Share

Metrics

Record views

296

 

Contact                    Legal Notice                    Personal Data