First Order BSPDEs in higher dimension for optimal control problems
Mathematical Finance
2018-10-31 v5 Probability
Abstract
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman equations and allow to construct the value function for stochastic optimal control problems with unspecified dynamics where the underlying processes do not necessarily satisfy stochastic differential equations of a known kind with a given structure. The problems considered arise in financial modelling.
Keywords
Cite
@article{arxiv.1603.06825,
title = {First Order BSPDEs in higher dimension for optimal control problems},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1603.06825},
year = {2018}
}