Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

DOI10.3934/dcds.2015.35.5521zbMath1332.93384arXiv1210.2078OpenAlexW2963534593MaRDI QIDQ255513

Shanjian Tang, Fu Zhang

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.2078

zbMATH Keywords

dynamic programmingviscosity solutionbackward SDEpath-dependent Bellman equationpath-dependent optimal stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (17)

An infinite-dimensional approach to path-dependent Kolmogorov equations ⋮ Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ The Existence of Game Value for Path-dependent Stochastic Differential Game ⋮ Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ Nonlinear continuous semimartingales ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Survey on path-dependent PDEs ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Path-dependent Hamilton-Jacobi equations: the minimax solutions revised ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Delay optimal control and viscosity solutions to associated Hamilton–Jacobi–Bellman equations ⋮ Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ On differentiability of solutions of fractional differential equations with respect to initial data

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