Stochastic Target Problems, Dynamic Programming and Viscosity Solutions.

In this paper, we define and study a new class of optimal stochastic control problems which is closely related to the theory of Backward SDE's and forward-backward SDE's. The controlled process takes values in RXR and a given initial data for X(O). Then, the control problem is to find the minimal initial data for Y so that it reaches a stochastic target at a specified terminal time T.

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Year of publication:	1999
Authors:	Soner, H.M. ; Touzi, N.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	MATHEMATICAL ANALYSIS \| PROGRAMME EVALUATION \| PROBABILITY

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C73 - Stochastic and Dynamic Games
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005475332