Backward SDEs and Stochastic Control

Part of the Fields Institute Monographs book series (FIM, volume 29)


In this chapter, we introduce the notion of backward stochastic differential equation (BSDE hereafter) which allows to relate standard stochastic control to stochastic target problems. More importantly, the general theory in this chapter will be developed in the non-Markov framework. The Markovian framework of the previous chapters and the corresponding PDEs will be obtained under a specific construction. From this viewpoint, BSDEs can be viewed as the counterpart of PDEs in the non-Markov framework.


Stochastic Differential Equation Risky Asset Stochastic Control Pontryagin Maximum Principle Stochastic Control Problem 
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© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.Département de Mathématiques AppliquéesÉcole PolytechniquePalaiseau CedexFrance

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