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


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.


Brownian motion Feynman-Kac formula Lipschitz condition Optimal stopping 
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© Springer-Verlag London 2015

Authors and Affiliations

  1. 1.Shandong UniversityJinanShandong ProvinceChina