英文标题：
《First Order BSPDEs in higher dimension for optimal control problems》
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作者：
Nikolai Dokuchaev
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最新提交年份：
2018
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英文摘要：
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman equations and allow to construct the value function for stochastic optimal control problems with unspecified dynamics where the underlying processes do not necessarily satisfy stochastic differential equations of a known kind with a given structure. The problems considered arise in financial modelling.
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中文摘要：
本文研究了一阶倒向随机偏微分方程（BSPDEs）在有边界的多维状态域中的应用。这些方程代表了Hamilton-Jacobi-Bellman方程的类似物，并允许构造具有未知动力学的随机最优控制问题的值函数，其中基本过程不一定满足具有给定结构的已知类型的随机微分方程。考虑的问题出现在金融建模中。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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