Regularity Properties for General HJB Equations: A Backward Stochastic Differential Equation Method

DOI10.1137/110828629zbMath1246.93123OpenAlexW2035407342WikidataQ115247022 ScholiaQ115247022MaRDI QIDQ2910912

Juan Li, Rainer Buckdahn, Jianhui Huang

Publication date: 12 September 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10397/5879

zbMATH Keywords

viscosity solutionbackward stochastic differential equationsemiconcavitystochastic control systemHamilton--Jacobi--Bellman (HJB) equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Dynamic programming (90C39) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Regularity of solutions in optimal control (49N60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Viscosity solutions to PDEs (35D40)

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