## Backward stochastic differential equations and stochastic controls

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1999
Zhou, Xun Yu
##### Publication type
Contribution to a conference collection
##### Published in
Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304). - IEEE, 1999. - pp. 2384-2389. - ISBN 0-7803-5250-5
##### Abstract
The paper attempts to explore the relationship between backward stochastic differential equations (BSDEs) and stochastic controls by interpreting a BSDE as some stochastic optimal control problem. The latter is solved in a closed form by the stochastic linear-quadratic (LQ) theory. The general result is then applied to the Black-Scholes model, where an optimal mean-variance hedging portfolio is obtained explicitly in terms of the option price. Finally, a modified model is investigated where the difference between the state and the expectation of the given terminal value at any time is taken into account.
510 Mathematics
##### Conference
1999 Conference on Decision and Control, Phoenix, AZ, USA
##### Cite This
ISO 690KOHLMANN, Michael, Xun Yu ZHOU, 1999. Backward stochastic differential equations and stochastic controls. 1999 Conference on Decision and Control. Phoenix, AZ, USA. In: Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304). IEEE, pp. 2384-2389. ISBN 0-7803-5250-5. Available under: doi: 10.1109/CDC.1999.831281
BibTex
@inproceedings{Kohlmann1999Backw-25846,
year={1999},
doi={10.1109/CDC.1999.831281},
title={Backward stochastic differential equations and stochastic controls},
isbn={0-7803-5250-5},
publisher={IEEE},
booktitle={Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304)},
pages={2384--2389},
author={Kohlmann, Michael and Zhou, Xun Yu}
}

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