General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations

DOI10.1142/S0219493721500325zbMath1483.60081OpenAlexW3097358907MaRDI QIDQ3384666

Tao Hao, Qing-Feng Zhu

Publication date: 17 December 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500325

zbMATH Keywords

viscosity solutionalgebraic equationdynamic programming principlegeneral fully coupled FBSDE involving value functionnonlocal Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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