Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (Q4691148)

scientific article; zbMATH DE number 6958424

Language	Label	Description	Also known as
English	Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations	scientific article; zbMATH DE number 6958424

Statements

instance of

scholarly article

0 references

title

Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (English)

0 references

author

Jinniao Qiu

0 references

published in

SIAM Journal on Control and Optimization

0 references

publication date

18 October 2018

0 references

full work available at URL

https://arxiv.org/abs/1709.06143

0 references

zbMATH Keywords

stochastic Hamilton-Jacobi-Bellman equation

0 references

optimal stochastic control

0 references

backward stochastic partial differential equation

0 references

viscosity solution

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING

0 references

Pathwise Stochastic Control Problems and Stochastic HJB Equations

0 references

User’s guide to viscosity solutions of second order partial differential equations

0 references

L<sup>p</sup>- Theory for fully nonlinear uniformly parabolic equations

0 references

\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space

0 references

\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space

0 references

Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations

0 references

On viscosity solutions of path dependent PDEs

0 references

Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

0 references

Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

0 references

A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition

0 references

On semi-linear degenerate backward stochastic partial differential equations

0 references

On the definition of viscosity solutions for parabolic equations

0 references

Q4368791

0 references

Q3755824

0 references

Q3924932

0 references

A weak version of path-dependent functional Itô calculus

0 references

Fully nonlinear stochastic partial differential equations: non-smooth equations and applications

0 references

Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

0 references

On non-Markovian forward-backward SDEs and backward stochastic PDEs

0 references

Stochastic partial differential equations and filtering of diffusion processes

0 references

Stochastic Hamilton–Jacobi–Bellman Equations

0 references

Q3096569

0 references

Hörmander-type theorem for Itô processes and related backward SPDEs

0 references

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations

0 references

Maximum principle for quasi-linear backward stochastic partial differential equations

0 references

On the quasi-linear reflected backward stochastic partial differential equations

0 references

The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

0 references

On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces

0 references

Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

0 references

Survey of Measurable Selection Theorems

0 references

On the regularity theory of fully nonlinear parabolic equations: II

0 references

Q4255599

0 references

On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations

0 references

Identifiers

zbMATH Open document ID

1401.49030

0 references

DOI

10.1137/17M1148232

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4691148