Titlebook: Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE; Nizar Touzi Book 2013 Springer Science+Business Media New York 2

廢止

Dynamic Programming Equation in the Viscosity Sense,rder to relax the smoothness condition on the value function . in the statement of Propositions 3.4 and 3.5. Notice that the following proofs are obtained by slight modification of the corresponding proofs in the smooth case.

enterprise

上釉彩

Stochastic Control and Dynamic Programming,In this chapter, we assume that the filtration . is the .?augmentation of the canonical filtration of the Brownian motion .. This restriction is only needed in order to simplify the presentation of the proof of the dynamic programming principle.

斗爭

Gingivitis

gonioscopy

Stochastic Target Problems,In this section, we study a special class of stochastic target problems which avoids facing some technical difficulties, but reflects in a transparent way the main ideas and arguments to handle this new class of stochastic control problems.

ventilate

Override

小蟲

Nizar TouziProvides a self-contained presentation of the recent developments in Stochastic target problems which cannot be found in any other monograph.Approaches quadratic backward stochastic differential equat

組裝