Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations

DOI10.1051/cocv/2015016zbMath1338.60146MaRDI QIDQ2808056

Tao Hao, Juan Li

Publication date: 26 May 2016

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2015016

zbMATH Keywords

viscosity solution; Hamilton-Jacobi-Bellman equations; value function; forward-backward stochastic differential equations; dynamic programming principle

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

35K65: Degenerate parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Related Items

Stability of coupled jump diffusions and applications, Robust Control Problems of BSDEs Coupled with Value Functions, Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs, General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations

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