Stochastic verification theorem of forward-backward controlled systems for viscosity solutions

DOI10.1016/j.sysconle.2012.02.013zbMath1248.93176arXiv1010.5742OpenAlexW2022173345MaRDI QIDQ450796

Liangquan Zhang

Publication date: 14 September 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.5742

zbMATH Keywords

forwardstochastic optimal controlbackward stochastic differential equationsviscosity solutionsH-J-B equationsoptimal feedback controlssuper/sub-differentials

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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