Regularity Properties for General HJB Equations: A Backward Stochastic Differential Equation Method
DOI10.1137/110828629zbMath1246.93123WikidataQ115247022 ScholiaQ115247022MaRDI QIDQ2910912
Juan Li, Rainer Buckdahn, Jianhui Huang
Publication date: 12 September 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10397/5879
viscosity solution; backward stochastic differential equation; semiconcavity; stochastic control system; Hamilton--Jacobi--Bellman (HJB) equation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K55: Nonlinear parabolic equations
90C39: Dynamic programming
35K65: Degenerate parabolic equations
93E20: Optimal stochastic control
49N60: Regularity of solutions in optimal control
60H30: Applications of stochastic analysis (to PDEs, etc.)
93E03: Stochastic systems in control theory (general)
35D40: Viscosity solutions to PDEs
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