Dynamic programming principle and Hamilton-Jacobi-Bellman Equation under nonlinear expectation
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Institution:中泰证券金融研究院
Title of Paper:Dynamic programming principle and Hamilton-Jacobi-Bellman Equation under nonlinear expectation
Journal:ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS
Key Words:Backward stochastic differential equation;Dynamic programming principle;Hamilton-Jacobi-Bellman equation;Stochastic recursive optimal control
First Author:胡明尚
Document Code:1539148874427457538
Volume:28
Number of Words:10
Translation or Not:No
Date of Publication:2022-05
Release Time:2023-05-20