Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (Q5298846)

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scientific article; zbMATH DE number 6180380
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Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations
scientific article; zbMATH DE number 6180380

    Statements

    Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (English)
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    24 June 2013
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    backward stochastic differential equation
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    Feynman-Kac formula
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    functional Itō calculus
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    \(G\)-expectation
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    \(G\)-martingale
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    Hamilton-Jacobi-Bellman equation
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    path-dependent partial differential equation
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    uncertainty volatility model
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