Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations

DOI10.1051/cocv/2015016zbMath1338.60146OpenAlexW2332890182MaRDI QIDQ2808056

Tao Hao, Juan Li

Publication date: 26 May 2016

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2015016

zbMATH Keywords

viscosity solutionHamilton-Jacobi-Bellman equationsvalue functionforward-backward stochastic differential equationsdynamic programming principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (4)

Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs ⋮ Stability of coupled jump diffusions and applications ⋮ Robust Control Problems of BSDEs Coupled with Value Functions ⋮ General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations

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