FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS
This paper studies the first order backward stochastic partial differential equations suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogues of Hamilton--Jacobi--Bellman equations and allow one to construct the value function for stochastic...
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| Format: | Journal Article |
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Society for Industrial and Applied Mathematics
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/53664 |