Controlled mean-field backward stochastic differential equations with jumps involving the value function

DOI10.1007/s11424-016-4275-5zbMath1380.93290MaRDI QIDQ1691939

Hui Min, Juan Li

Publication date: 25 January 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-016-4275-5

zbMATH Keywords

value function; Poisson random measure; Hamilton-Jacobi-Bellman (HJB) equation; dynamic programming principle (DPP); meanfield backward stochastic differential equation (mean-field BSDE) with jump

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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