Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs
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Publication:2183132
DOI10.1214/20-ECP310zbMath1461.60043arXiv1701.03871MaRDI QIDQ2183132
Lishun Xiao, De-Jian Tian, Sheng-Jun Fan
Publication date: 26 May 2020
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.03871
Hamilton-Jacobi-Bellman equationbackward stochastic differential equationrecursive optimal control problemrepresentation theorem for generator
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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BSDEs with stochastic Lipschitz condition: a general result ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
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