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dc.date.accessioned2013-12-10T15:41:45Z
dc.date.available2013-12-10T15:41:45Z
dc.date.created2013-12-06T14:04:31Z
dc.date.issued2013
dc.identifier.citationØksendal, Bernt Sulem, Agnès Zhang, Tusheng . A stochastic HJB equation for optimal control of forward-backward SDEs. Prepint Series - Pure Mathematics. 2013
dc.identifier.urihttp://hdl.handle.net/10852/37912
dc.description.abstractWe study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the Itô-Ventzell formula the system is transformed to a controlled backward stochastic partial di eren- tial equation (BSPDE) with jumps. Using a comparison principle for such BSPDEs we obtain a general stochastic Hamilton-Jacobi- Bellman (HJB) equation for such control problems. In the classical Markovian case with optimal control of jump di usions, the equation reduces to the classical HJB equation. The results are applied to study risk minimization in nancial markets.
dc.languageEN
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series: Pure mathematics http://urn.nb.no/URN:NBN:no-8076
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleA stochastic HJB equation for optimal control of forward-backward SDEs
dc.typeResearch report
dc.creator.authorØksendal, Bernt
dc.creator.authorSulem, Agnès
dc.creator.authorZhang, Tusheng
cristin.unitcode185,15,13,35
cristin.unitnameStokastisk analyse, finans, forsikring og risiko
cristin.ispublishedfalse
cristin.fulltextpreprint
dc.identifier.cristin1073746
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Prepint Series - Pure Mathematics&rft.volume=&rft.spage=&rft.date=2013
dc.identifier.pagecount13
dc.identifier.urnURN:NBN:no-39932
dc.type.documentForskningsrapport
dc.source.issn0806-2439
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/37912/1/DUO%5B%C3%98SZ%5DstochasticHJB%2C18Nov.2013.pdf


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