Limit theorem for controlled backward SDEs and homogenization of Hamilton-Jacobi-Bellman equations

DOI10.1007/s00245-004-0805-3zbMath1109.60055OpenAlexW1994167177MaRDI QIDQ849851

Rainer Buckdahn, Naoyuki Ichihara

Publication date: 1 November 2006

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-004-0805-3

zbMATH Keywords

viscosity solutionbackward stochastic differential equation

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27)

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