Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (Q255513)

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English	Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations	scientific article

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instance of

scholarly article

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title

Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (English)

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zbMATH Open document ID

1332.93384

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DOI

10.3934/dcds.2015.35.5521

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Discrete and Continuous Dynamical Systems

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publication date

9 March 2016

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full work available at URL

https://arxiv.org/abs/1210.2078

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Mathematics Subject Classification ID

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path-dependent optimal stochastic control

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path-dependent Bellman equation

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viscosity solution

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backward SDE

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dynamic programming

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MaRDI profile type

MaRDI publication profile

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Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

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Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I

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Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.

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Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs

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Pathwise Stochastic Control Problems and Stochastic HJB Equations

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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Functional Itō calculus and stochastic integral representation of martingales

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Change of variable formulas for non-anticipative functionals on path space

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User’s guide to viscosity solutions of second order partial differential equations

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Viscosity Solutions of Hamilton-Jacobi Equations

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A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)

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Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains

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\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space

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Optimal stopping under nonlinear expectation

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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On viscosity solutions of path dependent PDEs

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Backward Stochastic Differential Equations in Finance

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Controlled Markov processes and viscosity solutions

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Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations

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Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach

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Q4002114

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Q4368791

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Q4704238

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Control of a Solution of a Stochastic Integral Equation

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Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions

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Q3977387

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Fully nonlinear stochastic partial differential equations

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Fully nonlinear stochastic partial differential equations: non-smooth equations and applications

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On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Adapted solution of a degenerate backward SPDE, with applications

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Q4029028

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

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Stochastic Hamilton–Jacobi–Bellman Equations

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Q3096569

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Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation

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Maximum principle for quasi-linear backward stochastic partial differential equations

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Wellposedness of second order backward SDEs

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Q3862204

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Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)

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Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations

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Q4255599

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A duality analysis on stochastic partial differential equations

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mardi Publication:255513