Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

DOI10.1214/14-AAP1049zbMath1323.65076arXiv1311.4505MaRDI QIDQ2354898

Nicolas Langrené, Idris Kharroubi, Huyên Pham

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4505

zbMATH Keywords

optimal controlconvergenceHamilton-Jacobi-Bellman equationbackward stochastic differential equationsdiscrete time approximationsamplenonlinear degenerate PDE

Mathematics Subject Classification ID

Related Items (21)

Robust utility maximization under model uncertainty via a penalization approach ⋮ On the convergence of monotone schemes for path-dependent PDEs ⋮ Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ Backward SDE representation for stochastic control problems with nondominated controlled intensity ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ A bias-corrected least-squares Monte Carlo for solving multi-period utility models ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes ⋮ Forward-backward SDEs with distributional coefficients ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ A class of finite-dimensional numerically solvable McKean-Vlasov control problems ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains ⋮ Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE ⋮ Randomized and backward SDE representation for optimal control of non-Markovian SDEs ⋮ Feynman-Kac representation of fully nonlinear PDEs and applications

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