Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (Q2354152): Difference between revisions

A Feynman-Kac type representation for Hamilton-Jacobi-Bellman equations by a forward backward stochastic differential equation is provided. For this purpose, a class of BSDEs with partially non-positive jump components is introduced, and the existence of a minimal solution of these BSDEs is obtained by penalization. This is then used for probabilistic representations of fully nonlinear integro-partial differential equations (IPDEs) of Hamilton-Jacobi-Bellman type.