On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth

DOI10.1137/050633548zbMath1125.93069OpenAlexW2082716527MaRDI QIDQ5294585

Ying Hu, Marco Fuhrman, Gianmario Tessitore

Publication date: 25 July 2007

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

Full work available at URL: http://hdl.handle.net/2434/661818

zbMATH Keywords

stochastic optimal controlbackward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (12)

Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators ⋮ Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators ⋮ Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces ⋮ Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces ⋮ Backward stochastic viability and related properties on \(Z\) for BSDEs with applications ⋮ Quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition ⋮ A Bismut-Elworthy formula for quadratic BSDEs ⋮ Optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ A probabilistic weak formulation of mean field games and applications

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