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 |
| _version_ | 1848759197529800704 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 optimal control problems with unspecified dynamics where the underlying processes do not necessarily satisfy stochastic differential equations of a known kind with a given structure. The problems considered arise in financial modeling. |
| first_indexed | 2025-11-14T09:56:03Z |
| format | Journal Article |
| id | curtin-20.500.11937-53664 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:56:03Z |
| publishDate | 2017 |
| publisher | Society for Industrial and Applied Mathematics |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-536642017-10-05T04:35:32Z FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS Dokuchaev, Nikolai 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 optimal control problems with unspecified dynamics where the underlying processes do not necessarily satisfy stochastic differential equations of a known kind with a given structure. The problems considered arise in financial modeling. 2017 Journal Article http://hdl.handle.net/20.500.11937/53664 10.1137/16M1075983 Society for Industrial and Applied Mathematics fulltext |
| spellingShingle | Dokuchaev, Nikolai FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS |
| title | FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS |
| title_full | FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS |
| title_fullStr | FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS |
| title_full_unstemmed | FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS |
| title_short | FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS |
| title_sort | first order bspdes in higher dimension for optimal control problems |
| url | http://hdl.handle.net/20.500.11937/53664 |