A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs

DOI10.1007/978-3-319-25826-3_20zbMath1354.60061arXiv1312.1472OpenAlexW197693422MaRDI QIDQ2956064

Agnès Sulem, Bernt Øksendal, Tu-Sheng Zhang

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.1472

zbMATH Keywords

comparison principlestochastic controlportfolio optimizationrisk minimizationforward-backward SDEsstochastic HJB equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (4)

Filtering method for linear and non-linear stochastic optimal control of partially observable systems II ⋮ A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation ⋮ Risk minimization in financial markets modeled by Itô-Lévy processes ⋮ Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems

Cites Work

• On non-Markovian forward-backward SDEs and backward stochastic PDEs
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Solution of forward-backward stochastic differential equations
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Stochastic Hamilton–Jacobi–Bellman Equations
• Pathwise Stochastic Control Problems and Stochastic HJB Equations

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