| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0349569 |
| utime |
20240111140746.9 |
| mtime |
20101116235959.9 |
| title
(primary) (eng) |
Backward stochastic differential equations and its application to stochastic control |
| specification |
| page_count |
9 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0349568 |
| ISBN |
978-80-01-04641-8 |
| title
|
Stochastic and Physical Monitoring Systems 2010 - Proceedings |
| page_num |
181-189 |
| publisher |
| place |
Praha |
| name |
Nakladatelství ČVUT - výroba |
| year |
2010 |
|
| editor |
|
|
| keyword |
BSDE |
| keyword |
Stochastic control |
| author
(primary) |
| ARLID |
cav_un_auth*0265650 |
| name1 |
Veverka |
| name2 |
Petr |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Stochastic Informatics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), provide fundamental theorems of existence and uniqueness of the solution for some essential cases and we show by example its important connections to financial mathematics. Finally, we focus on vast applications of BSDE to stochastic control via Pontryagin's maximum principle. |
| action |
| ARLID |
cav_un_auth*0265653 |
| name |
Stochastic and Physical Monitoring Systems 2010 |
| place |
Děčín |
| dates |
27.06.2010-03.07.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
BA |
| permalink |
http://hdl.handle.net/11104/0189770 |
| arlyear |
2010 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0349568 Stochastic and Physical Monitoring Systems 2010 - Proceedings 978-80-01-04641-8 181 189 Stochastic and Physical Monitoring Systems 2010 - Proceedings Praha Nakladatelství ČVUT - výroba 2010 Vydání 1. |
| mrcbU67 |
Hobza Tomáš 340 |
|