Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations

zbMath0832.60067MaRDI QIDQ1899636

Jin Ma, Jiong-min Yong

Publication date: 20 February 1996

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationforward-backward stochastic differential equationstochastic relaxed control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Initial value problems for second-order parabolic equations (35K15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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