Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations (Q6192289): Difference between revisions

Revision as of 09:30, 28 August 2024

scientific article; zbMATH DE number 7815229

Language	Label	Description	Also known as
English	Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations	scientific article; zbMATH DE number 7815229

Statements

instance of

scholarly article

0 references

title

Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations (English)

0 references

published in

ESAIM: Control, Optimisation and Calculus of Variations

0 references

publication date

11 March 2024

0 references

full work available at URL

https://arxiv.org/abs/2307.08882

0 references

zbMATH Keywords

stochastic path-dependent Hamilton-Jacobi equation

0 references

stochastic optimal control

0 references

viscosity solution

0 references

backward stochastic partial differential equation

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations

0 references

Functional Itō calculus and stochastic integral representation of martingales

0 references

A weak version of path-dependent functional Itô calculus

0 references

Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations

0 references

Viscosity Solutions of Hamilton-Jacobi Equations

0 references

Viscosity solutions of fully nonlinear second-order elliptic partial differential equations

0 references

A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations

0 references

Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

0 references

Hamilton-Jacobi equations in infinite dimensions. I: Uniqueness of viscosity solutions

0 references

On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems

0 references

Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

0 references

Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs

0 references

Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

0 references

Path-dependent equations and viscosity solutions in infinite dimension

0 references

BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

0 references

On the Hamilton-Jacobi-Bellmann equations in Banach spaces

0 references

Path-dependent Hamilton-Jacobi equations in infinite dimensions

0 references

A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING

0 references

Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

0 references

Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations

0 references

Controlled reflected SDEs and Neumann problem for backward SPDEs

0 references

The Master Equation and the Convergence Problem in Mean Field Games

0 references

On semi-linear degenerate backward stochastic partial differential equations

0 references

Stochastic Hamilton–Jacobi–Bellman Equations

0 references

Stochastic Optimal Control in Infinite Dimension

0 references

A concise course on stochastic partial differential equations

0 references

Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions

0 references

Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

0 references

Q3924932

0 references

Stochastic Equations in Infinite Dimensions

0 references

Stochastic differential equations. An introduction with applications.

0 references

Q3755824

0 references

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations

0 references

Identifiers

0 references

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6192289

@@ Property / cites work @@
+Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations
+Normal rank
@@ Property / cites work @@
+Functional Itō calculus and stochastic integral representation of martingales
+Normal rank
@@ Property / cites work @@
+A weak version of path-dependent functional Itô calculus
+Normal rank
@@ Property / cites work @@
+Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Hamilton-Jacobi Equations
@@ Property / cites work: Viscosity Solutions of Hamilton-Jacobi Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
+Normal rank
@@ Property / cites work @@
+A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
+Normal rank
@@ Property / cites work @@
+Hamilton-Jacobi equations in infinite dimensions. I: Uniqueness of viscosity solutions
+Normal rank
@@ Property / cites work @@
+On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
+Normal rank
@@ Property / cites work @@
+Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
+Normal rank
@@ Property / cites work @@
+Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
+Normal rank
@@ Property / cites work @@
+Path-dependent equations and viscosity solutions in infinite dimension
+Normal rank
@@ Property / cites work @@
+BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
+Normal rank
@@ Property / cites work @@
+On the Hamilton-Jacobi-Bellmann equations in Banach spaces
+Normal rank
@@ Property / cites work @@
+Path-dependent Hamilton-Jacobi equations in infinite dimensions
+Normal rank
@@ Property / cites work @@
+A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
@@ Property / cites work: A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations
+Normal rank
@@ Property / cites work @@
+Controlled reflected SDEs and Neumann problem for backward SPDEs
+Normal rank
@@ Property / cites work @@
+The Master Equation and the Convergence Problem in Mean Field Games
+Normal rank
@@ Property / cites work @@
+On semi-linear degenerate backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Optimal Control in Infinite Dimension
@@ Property / cites work: Stochastic Optimal Control in Infinite Dimension / rank @@
+Normal rank
@@ Property / cites work @@
+A concise course on stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
+Normal rank
@@ Property / cites work @@
+Q3924932
@@ Property / cites work: Q3924932 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Q3755824
@@ Property / cites work: Q3755824 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
+Normal rank