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
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Cites Work
- Backward-forward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- User’s guide to viscosity solutions of second order partial differential equations
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Mean-field backward stochastic differential equations and related partial differential equations
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
- Dynamics of the McKean-Vlasov equation
- McKean-Vlasov limit for interacting random processes in random media.
- A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
- Mean-field backward stochastic differential equations: A limit approach
- Solution of forward-backward stochastic differential equations
- A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
- Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Stochastic differential games for fully coupled FBSDEs with jumps
- Damper placement for seismic control of super-long-span suspension bridges based on the first-order optimization method
- Some stochastic particle methods for nonlinear parabolic PDEs
Cited In (6)
- Stability of coupled jump diffusions and applications
- Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
- 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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