arXiv subjects

Coskun Cetin

Publications and source records attributed to Coskun Cetin.

2 recordsLinked to original sources

arXiv2012

Perturbed Linear-Quadratic Control Problems and Their Probabilistic Representations

We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs). Using the methods of stochastic control, nonlinear partial differential equations (PDEs) and BSDEs, we identify conditions for the solvability of the problem and obtain some regularity properties of the solutions.

math.OC↗

arXiv2012

Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a probabilistic representation. Assuming that there is a solution to the BSDE or to the corresponding PDE, we use the probabilistic interpretation to show the uniqueness of the solutions, and provide an example of a stochastic control application.

math.PR↗