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Stochastic target problems, dynamic programming, and viscosity solutions

Koc University Digital Collections · Papers
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applied-mathematics
In this paper, we define and study a new class of optimal stochastic control problems which is closely related to the theory of backward SDEs and forward-backward SDEs. The controlled process (X-nu, Y-nu) takes values in R-d x R and a given initial data for X-nu (0). Then the control problem is to f
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