Probabilistic solutions for a class of path-dependent Hamilton-Jacobi-Bellman equations

DOI10.1080/07362994.2013.776881MaRDI QIDQ5298846zbMATH OpenOpenAlexFDO

Authors Yuhong Xu

Publication date 24 June 2013

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2013.776881

zbMATH Keywords

\(G\)-expectation\(G\)-martingalebackward stochastic differential equationFeynman-Kac formulafunctional Itō calculusHamilton-Jacobi-Bellman equationpath-dependent partial differential equationuncertainty volatility model

Mathematics Subject Classification ID

Heat equation (35K05) Nonlinear parabolic equations (35K55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65)

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Cites work

• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic Hamilton–Jacobi–Bellman Equations
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(7)

• Comparison theorem for nonlinear path-dependent partial differential equations
• Probabilistic max-plus schemes for solving Hamilton-Jacobi-Bellman equations
• scientific article; zbMATH DE number 686945 (Why is no real title available?)
• Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
• Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES
• Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
• Path-dependent dynamic programming principles and related path-dependent PDEs under G-expectation

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