Regularity properties for general HJB equations. A BSDE method

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Publication:6230857

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DOI10.1137/110828629zbMath1246.93123arXiv1202.1432WikidataQ115247022 ScholiaQ115247022MaRDI QIDQ6230857

Jianhui Huang, Rainer Buckdahn, Juan Li

Publication date: 7 February 2012

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Dynamic programming (90C39) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Regularity of solutions in optimal control (49N60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Viscosity solutions to PDEs (35D40)

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