A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs

DOI10.1007/978-3-319-25826-3_20zbMath1354.60061arXiv1312.1472MaRDI QIDQ2956064

Agnès Sulem, Bernt Øksendal, Tu-Sheng Zhang

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.1472

zbMATH Keywords

comparison principle; stochastic control; portfolio optimization; risk minimization; forward-backward SDEs; stochastic HJB equation

Mathematics Subject Classification ID

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

93E20: Optimal stochastic control

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

49K45: Optimality conditions for problems involving randomness

91G10: Portfolio theory

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Cites Work

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• Solution of forward-backward stochastic differential equations
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Stochastic Hamilton–Jacobi–Bellman Equations
• Pathwise Stochastic Control Problems and Stochastic HJB Equations