Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
From MaRDI portal
Publication:3192136
DOI10.1137/100816778zbMath1295.93076arXiv1302.0935OpenAlexW2157267966MaRDI 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 solutionvalue functionsdynamic programming principlestochastic backward semigroupfully coupled FBSDEs
Related Items (27)
Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient ⋮ Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs ⋮ Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations ⋮ \( L^p\) estimations of fully coupled FBSDEs ⋮ Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ Active learning based sampling for high-dimensional nonlinear partial differential equations ⋮ A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems ⋮ Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ \(L^p\) estimates for fully coupled FBSDEs with jumps ⋮ Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Existence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equations ⋮ A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations ⋮ Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations ⋮ Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations ⋮ General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations ⋮ The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation ⋮ $L^p$-theory of forward-backward stochastic differential equations ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations ⋮ Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations ⋮ Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems ⋮ Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation ⋮ Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance ⋮ Stochastic differential games for fully coupled FBSDEs with jumps
This page was built for publication: Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
