Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations

DOI10.1016/j.na.2008.02.080zbMath1158.60354OpenAlexW2062925593MaRDI QIDQ1005288

Juan Li, Shige Peng

Publication date: 9 March 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2008.02.080

zbMATH Keywords

viscosity solutionbackward stochastic differential equationsvalue functionPoisson random measuredynamic programming principlestochastic backward semigroup

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)

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