Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations

DOI10.1007/s00028-010-0060-4zbMath1239.35036OpenAlexW1985696076MaRDI QIDQ423422

Rainer Buckdahn, Ying Hu

Publication date: 2 June 2012

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00028-010-0060-4

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)

Related Items (7)

Multi-dimensional BSDEs driven by G-Brownian motion and related system of fully nonlinear PDEs ⋮ Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs ⋮ Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations ⋮ Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals ⋮ The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation ⋮ Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations ⋮ Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation

Cites Work

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• Backward stochastic differential equations and integral-partial differential equations
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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