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

zbMATH Keywords

viscosity solution; backward stochastic differential equation; semiconcavity; stochastic control system; Hamilton--Jacobi--Bellman (HJB) equation

Mathematics Subject Classification ID

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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