Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
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Publication:2354152
DOI10.1214/14-AOP920zbMath1333.60150arXiv1212.2000OpenAlexW1647881072MaRDI QIDQ2354152
Publication date: 10 July 2015
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.2000
viscosity solutionbackward stochastic differential equationFeynman-Kac representationHamilton-Jacobi-Bellman integro-partial differential equationregime-switching jump-diffusion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Integro-partial differential equations (35R09)
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