Stochastic control for a class of nonlinear kernels and applications
Stochastic control for a class of nonlinear kernels and applications
We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimization, over a set of possibly nondominated probability measures, of solutions of backward stochastic differential equations (BSDEs). Since BSDEs are nonlinear generalizations of the traditional (linear) expectations, this problem …