Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations (Q2808056): Difference between revisions

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English	Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations	scientific article

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scholarly article

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title

Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations (English)

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ESAIM: Control, Optimisation and Calculus of Variations

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publication date

26 May 2016

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zbMATH Keywords

forward-backward stochastic differential equations

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value function

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Hamilton-Jacobi-Bellman equations

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dynamic programming principle

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viscosity solution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/cocv/2015016

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cites work

Backward-forward stochastic differential equations

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Some stochastic particle methods for nonlinear parabolic PDEs

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A stochastic particle method for the McKean-Vlasov and the Burgers equation

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Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

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Mean-field backward stochastic differential equations and related partial differential equations

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Mean-field backward stochastic differential equations: A limit approach

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Dynamics of the McKean-Vlasov equation

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User’s guide to viscosity solutions of second order partial differential equations

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Damper placement for seismic control of super-long-span suspension bridges based on the first-order optimization method

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Solution of forward-backward stochastic differential equations

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A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation

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Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations

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Stochastic differential games for fully coupled FBSDEs with jumps

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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McKean-Vlasov limit for interacting random processes in random media.

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A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations

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Identifiers

zbMATH Open document ID

1338.60146

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DOI

10.1051/cocv/2015016

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Mathematics Subject Classification ID

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Mathematics(1 entry)

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+Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Some stochastic particle methods for nonlinear  parabolic PDEs
+Normal rank
@@ Property / cites work @@
+A stochastic particle method for the McKean-Vlasov and the Burgers equation
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations: A limit approach
+Normal rank
@@ Property / cites work @@
+Dynamics of the McKean-Vlasov equation
@@ Property / cites work: Dynamics of the McKean-Vlasov equation / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Damper placement for seismic control of super-long-span suspension bridges based on the first-order optimization method
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
+Normal rank
@@ Property / cites work @@
+Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Stochastic differential games for fully coupled FBSDEs with jumps
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
+Normal rank
@@ Property / cites work @@
+McKean-Vlasov limit for interacting random processes in random media.
+Normal rank
@@ Property / cites work @@
+A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
+Normal rank
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