Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
From MaRDI portal
Publication:255513
DOI10.3934/dcds.2015.35.5521zbMath1332.93384arXiv1210.2078OpenAlexW2963534593MaRDI QIDQ255513
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.2078
dynamic programmingviscosity solutionbackward SDEpath-dependent Bellman equationpath-dependent optimal stochastic control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Related Items
An infinite-dimensional approach to path-dependent Kolmogorov equations ⋮ Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ The Existence of Game Value for Path-dependent Stochastic Differential Game ⋮ Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ Nonlinear continuous semimartingales ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Survey on path-dependent PDEs ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Path-dependent Hamilton-Jacobi equations: the minimax solutions revised ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Delay optimal control and viscosity solutions to associated Hamilton–Jacobi–Bellman equations ⋮ Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ On differentiability of solutions of fractional differential equations with respect to initial data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Optimal stopping under nonlinear expectation
- Wellposedness of second order backward SDEs
- On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems
- Maximum principle for quasi-linear backward stochastic partial differential equations
- Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
- Change of variable formulas for non-anticipative functionals on path space
- A duality analysis on stochastic partial differential equations
- Adapted solution of a degenerate backward SPDE, with applications
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
- Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
- Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
- Functional Itō calculus and stochastic integral representation of martingales
- \(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
- On viscosity solutions of path dependent PDEs
- Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
- Controlled Markov processes and viscosity solutions
- Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
- Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
- Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
- Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Viscosity Solutions of Hamilton-Jacobi Equations
- Stochastic Hamilton–Jacobi–Bellman Equations
- User’s guide to viscosity solutions of second order partial differential equations
- Fully nonlinear stochastic partial differential equations
- Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
- Backward Stochastic Differential Equations in Finance
- Pathwise Stochastic Control Problems and Stochastic HJB Equations
- Control of a Solution of a Stochastic Integral Equation
