Dual formulation of second order target problems

Annals of Applied Probability

Volumn 23, Issue 1, 2013, Pages 308-347

  Soner, H Mete ^a   Touzi, Nizar ^b   Zhang, Jianfeng ^c  

^a ETH ZURICH   (Switzerland)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Backward SDEs; Duality; Mutually singular probability measures; Stochastic target problem

Indexed keywords

EID: 84876274880     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AAP844     Document Type: Article

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