Stochastic Target Problems, Dynamic Programming and Viscosity Solutions

H.M. Soner and N. Touzi

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: In this paper, we define and study a new class of optimal stochastic control problems which is closely related to the theory of Backward SDE's and forward-backward SDE's. The controlled process takes values in RXR and a given initial data for X(O). Then, the control problem is to find the minimal initial data for Y so that it reaches a stochastic target at a specified terminal time T.

Keywords: MATHEMATICAL ANALYSIS; PROGRAMME EVALUATION; PROBABILITY (search for similar items in EconPapers)
JEL-codes: C61 C73 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1999
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999.109

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