Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
DOI10.1051/cocv/2022019zbMath1492.93199arXiv2106.02814OpenAlexW3168988147WikidataQ114011477 ScholiaQ114011477MaRDI QIDQ5864584
Xiaojuan Li, Shaolin Ji, Ming Shang Hu
Publication date: 8 June 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.02814
Hamilton-Jacobi-Bellman equationbackward stochastic differential equationdynamic programming principlestochastic recursive optimal control
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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