Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations (Q2808056)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations |
scientific article |
Statements
Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations (English)
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26 May 2016
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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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