Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations

DOI10.1137/100816778zbMath1295.93076arXiv1302.0935OpenAlexW2157267966MaRDI QIDQ3192136

Juan Li, Qingmeng Wei

Publication date: 26 September 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0935

zbMATH Keywords

viscosity solutionvalue functionsdynamic programming principlestochastic backward semigroupfully coupled FBSDEs

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

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