Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations
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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- Solution of forward-backward stochastic differential equations
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- Some stochastic particle methods for nonlinear parabolic PDEs
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
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- User’s guide to viscosity solutions of second order partial differential equations
- Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
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- 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
- Robust Control Problems of BSDEs Coupled with Value Functions
- Backward stochastic differential equations coupled with value function and related optimal control problems
- General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations
- Stability of coupled jump diffusions and applications
- Controlled mean-field backward stochastic differential equations with jumps involving the value function
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