Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
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Cites work
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- Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
- Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)
- scientific article; zbMATH DE number 1341816 (Why is no real title available?)
- Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Some uniqueness results for one-dimensional BSDEs with uniformly continuous coefficients
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
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Cited in
(7)- A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
- Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
- Stochastic verification theorems for stochastic control problems of reflected FBSDEs
- Recursive stochastic differential games with non-Lipschitzian generators and viscosity solutions of Hamilton-Jacobi-Bellman-Isaacs equations
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