Optimal Control of Stochastic Functional Differential Equations with Application to Finance

This work is devoted to the study of optimal control of stochastic functional differential equations (SFDEs) and its application to mathematical finance. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the converse HJB equatio...

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Bibliographische Detailangaben

Hauptverfasser:	Coayla-Teran, Edson A, Swishchuk, Anatoly
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Optimization and Control
Online-Zugang:	Volltext bestellen
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