Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
type: Item
instance of: scholarly article
title: Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
zbMATH Open document ID: 1158.60354
author: Juan Li
author: Shige Peng
published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
publication date: 2009-03-09T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 5526385
zbMATH Keywords: Poisson random measure
zbMATH Keywords: value function
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: dynamic programming principle
zbMATH Keywords: viscosity solution
zbMATH Keywords: stochastic backward semigroup
MaRDI profile type: Publication
full work available at URL: j.na.2008.02.080
OpenAlex ID: W2062925593
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DOI: 10.1016/J.NA.2008.02.080
description: scientific article; zbMATH DE number 5526385