Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations (Q2808056)
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scientific article; zbMATH DE number 6585510
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| English | Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations |
scientific article; zbMATH DE number 6585510 |
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26 May 2016
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forward-backward stochastic differential equations
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value function
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Hamilton-Jacobi-Bellman equations
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dynamic programming principle
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viscosity solution
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Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations (English)
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0.8997237086296082
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0.8861263990402222
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0.8517296314239502
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0.8480220437049866
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0.8410858511924744
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