Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach

DOI10.1016/j.spa.2015.12.009zbMath1337.60151arXiv1410.1125OpenAlexW2233780866MaRDI QIDQ271868

Andrea Cosso, Huyên Pham, Marco Fuhrman

Publication date: 20 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.1125

zbMATH Keywords

stochastic controlbackward stochastic differential equationslarge time behaviorHamilton-Jacobi-Bellman-type equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Existence theories for optimal control problems involving partial differential equations (49J20) Hamilton-Jacobi theories (49L99) Existence of optimal solutions to problems involving randomness (49J55)

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