Backward Stochastic Differential Equations Coupled with Value Function and Related Optimal Control Problems
We get a new type of controlled backward stochastic differential equations (BSDEs), namely, the BSDEs, coupled with value function. We prove the existence and the uniqueness theorem as well as a comparison theorem for such BSDEs coupled with value function by using the approximation method. We get t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/262713 |