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Arrow Sufficient Conditions for Optimality of Fully Coupled Forward-Backward Stochastic Differential Equations with Applications to Finance.
Guangchen Wang
Hua Xiao
Published in:
J. Optim. Theory Appl. (2015)
Keyphrases
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sufficient conditions
forward backward
stochastic differential equations
asymptotic optimality
hidden markov models
maximum a posteriori estimation
brownian motion
asymptotic stability
optimal solution
exponential stability
additive gaussian noise