Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations

DOI10.1051/cocv/2015016zbMath1338.60146OpenAlexW2332890182MaRDI QIDQ2808056

Tao Hao, Juan Li

Publication date: 26 May 2016

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2015016

zbMATH Keywords

viscosity solutionHamilton-Jacobi-Bellman equationsvalue functionforward-backward stochastic differential equationsdynamic programming principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs, Stability of coupled jump diffusions and applications, Robust Control Problems of BSDEs Coupled with Value Functions, General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations

Cites Work

• Damper placement for seismic control of super-long-span suspension bridges based on the first-order optimization method
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Backward-forward stochastic differential equations
• Dynamics of the McKean-Vlasov equation
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• McKean-Vlasov limit for interacting random processes in random media.
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
• A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
• Solution of forward-backward stochastic differential equations
• Stochastic differential games for fully coupled FBSDEs with jumps
• Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
• Some stochastic particle methods for nonlinear parabolic PDEs
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• A stochastic particle method for the McKean-Vlasov and the Burgers equation