Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (Q2354152)
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| Language | Label | Description | Also known as |
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| English | Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE |
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Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (English)
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10 July 2015
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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.
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Hamilton-Jacobi-Bellman integro-partial differential equation
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Feynman-Kac representation
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backward stochastic differential equation
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regime-switching jump-diffusion
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viscosity solution
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