Backward stochastic differential equations with constraints on the gains-process

Annals of Probability

Volumn 26, Issue 4, 1998, Pages 1522-1551

  Cvitanić, Jakša ^a   Karatzas, Ioannis ^a   Soner, H Mete ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b BOGAZICI UNIVERSITY   (Turkey)

Author keywords

Backward SDEs; Convex constraints; Stochastic control

Indexed keywords

EID: 0032237817     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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