Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations (Q2359708)

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Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations

scientific article; zbMATH DE number 6734599

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English	Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations	scientific article; zbMATH DE number 6734599

Statements

instance of

scholarly article

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title

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations (English)

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author

Jinniao Qiu

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published in

Stochastic Processes and their Applications

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publication date

22 June 2017

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full work available at URL

https://arxiv.org/abs/1410.6967

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zbMATH Keywords

stochastic Hamilton-Jacobi-Bellman equation

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backward stochastic partial differential equation

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weak solution

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non-Markovian control

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potential

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MaRDI profile type

MaRDI publication profile

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cites work

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Q3096569

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Identifiers

zbMATH Open document ID

1367.60084

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Mathematics Subject Classification ID

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10.1016/J.SPA.2016.09.010

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Sitelinks

Mathematics(1 entry)

mardi Publication:2359708