Skip to Main content Skip to Navigation
Journal articles

Randomized and backward SDE representation for optimal control of non-Markovian SDEs

Document type :
Journal articles
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-01172283
Contributor : Serena Benassù <>
Submitted on : Tuesday, July 7, 2015 - 11:17:34 AM
Last modification on : Saturday, March 28, 2020 - 2:15:16 AM

Identifiers

  • HAL Id : hal-01172283, version 1

Citation

M. Fuhrman, H. Pham. Randomized and backward SDE representation for optimal control of non-Markovian SDEs. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4), pp.2134-2167. ⟨hal-01172283⟩

Share

Metrics

Record views

193