Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
Xanthi-Isidora Kartala, Nikolaos Englezos, Athanasios N. Yannacopoulos
| Year of publication: |
2020
|
|---|---|
| Authors: | Kartala, Xanthi-Isidora ; Englezos, Nikolaos ; Yannacopoulos, Athanasios N. |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 45.2020, 2, p. 403-433
|
| Subject: | future expectations | infinite horizon | FBSDEs | quasi-linear BSPDEs | stochastic viscosity solutions | optimal control | stochastic maximum principle | forward-backward Ricatti differential equations | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2018.0981 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012242504