Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations
DOI10.1051/COCV/2015016zbMATH Open1338.60146OpenAlexW2332890182MaRDI QIDQ2808056FDOQ2808056
Publication date: 26 May 2016
Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2015016
Hamilton-Jacobi-Bellman equationsvalue functionviscosity solutiondynamic programming principleforward-backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (5)
- Stability of coupled jump diffusions and applications
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
- Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach
- Robust Control Problems of BSDEs Coupled with Value Functions
- General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations
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