Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations (Q3192136)
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scientific article
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| English | Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations |
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Statements
Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations (English)
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26 September 2014
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fully coupled FBSDEs
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value functions
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stochastic backward semigroup
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dynamic programming principle
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viscosity solution
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