Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
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Publication:3192136
DOI10.1137/100816778zbMath1295.93076arXiv1302.0935MaRDI QIDQ3192136
Publication date: 26 September 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.0935
viscosity solution; value functions; dynamic programming principle; stochastic backward semigroup; fully coupled FBSDEs
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