Randomized and backward SDE representation for optimal control of non-Markovian SDEs

Annals of Applied Probability

Volumn 25, Issue 4, 2015, Pages 2134-2167

  Fuhrman, Marco ^a   Pham, Huyên ^b  

^a POLITECNICO DI MILANO   (Italy)

^b UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Backward stochastic differential equations; Dominated measures; Non Markovian controlled SDEs; Randomization of controls

Indexed keywords

EID: 84936768219     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/14-AAP1045     Document Type: Article

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