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5. BSDES, Nonlinear Expectations and Their Application to Stochastic Controls

BSDES, Nonlinear Expectations and Their Application to Stochastic Controls

来源 :The 6th International Conference on Optimization and Control | 被引量 : 0次 | 上传用户：vista_momo

【摘 要】

：

　　We present the theory of backward stochastic differential equations(BSDE),nonlinear expectations and applications to stochastic optimal controls and stochas

【作 者】

：

Shige Peng 

【机 构】

：

ShandongUniversity

【出 处】

：

The 6th International Conference on Optimization and Control

【发表日期】

：

2015年12期

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论文部分内容阅读

　　We present the theory of backward stochastic differential equations(BSDE),nonlinear expectations and applications to stochastic optimal controls and stochastic differential games with feedback controls.

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