Abstract
A conditional expectation of the form \(Y_t=E[\xi +\int _t^Tf_sds|\mathcal {F}_t]\) is regarded as a simple and typical example of backward stochastic differential equation (abbreviated by BSDE). BSDEs are widely applied to formulate and solve problems related to stochastic optimal control, stochastic games, and stochastic valuation.
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Peng, S. (2021). Backward Stochastic Differential Equations and Related Control Problems. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, Cham. https://doi.org/10.1007/978-3-030-44184-5_234
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