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Backward Stochastic Differential Equations and Related Control Problems

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Encyclopedia of Systems and Control

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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.

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Author information

Authors and Affiliations

  1. Shandong University, Jinan, Shandong Province, China

    Shige Peng

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  1. Shige Peng
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Correspondence to Shige Peng .

Editor information

Editors and Affiliations

  1. Mechanical Engineering, Electrical and Computer Engineering, Boston University, Boston, MA, USA

    John Baillieul

  2. Honeywell Automation and Control Solutions, Golden Valley, MN, USA

    Tariq Samad

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Peng, S. (2015). Backward Stochastic Differential Equations and Related Control Problems. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5058-9_234

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