Backward stochastic differential equations coupled with value function and related optimal control problems
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Cites work
- A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
- A General Stochastic Maximum Principle for Optimal Control Problems
- A general stochastic maximum principle for SDEs of mean-field type
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- A mean-field stochastic maximum principle via Malliavin calculus
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and integral-partial differential equations
- Backward Stochastic Differential Equations in Finance
- Dynamics of the McKean-Vlasov equation
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- scientific article; zbMATH DE number 3167340 (Why is no real title available?)
- scientific article; zbMATH DE number 4211245 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3999814 (Why is no real title available?)
- scientific article; zbMATH DE number 3797647 (Why is no real title available?)
- Linear-quadratic mean field games
- McKean-Vlasov limit for interacting random processes in random media.
- Mean field games
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On the stochastic maximum principle. Fixed time of control
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic maximum principle in the mean-field controls
- Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(15)- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
- Controlled mean-field backward stochastic differential equations with jumps involving the value function
- BSDEs in games, coupled with the value functions, associated nonlocal Bellman-Isaacs equations
- A variational formula for controlled backward stochastic partial differential equations and some applications
- Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
- Comparison theorem of solutions to BSDE with jumps, and viscosity solution to a generalized Hamilton-Jacobi-Bellman equation
- Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations
- Mean-field SDEs with jumps and nonlocal integral-PDEs
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
- General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations
- On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
- Robust Control Problems of BSDEs Coupled with Value Functions
- On backward stochastic evolution equations in Hilbert spaces and optimal control
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