Encyclopedia of Systems and Control

2015 Edition
| Editors: John Baillieul, Tariq Samad

Backward Stochastic Differential Equations and Related Control Problems

  • Shige PengEmail author
Reference work entry
DOI: https://doi.org/10.1007/978-1-4471-5058-9_234

Abstract

A conditional expectation of the form \(Y _{t} = E[\xi +\int _{t}^{T}f_{s}ds\vert \mathcal{F}_{t}]\) is regarded as a simple and typical example of backward stochastic differential equation (abbreviated by BSDE). BSDEs are widely applied to formulate and solve problems related to stochastic optimal control, stochastic games, and stochastic valuation.

Keywords

Brownian motion Feynman-Kac formula Lipschitz condition Optimal stopping 
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Copyright information

© Springer-Verlag London 2015

Authors and Affiliations

  1. 1.Shandong UniversityJinanShandong ProvinceChina