Stochastic Hamilton–Jacobi–Bellman Equations

DOI10.1137/0330018zbMATH Open0747.93081OpenAlexW2086139156MaRDI QIDQ3988945FDOQ3988945

Authors: Shige Peng 

Publication date: 28 June 1992

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0330018

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zbMATH Keywords

dynamic programmingbackward stochastic differential equationRiccati equationnonlinear stochastic partial differential equationHamilton- Jacobi-Bellman equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS
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• On the geometry of the Hamilton-Jacobi-Bellman equation
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• Maximum principle for quasi-linear backward stochastic partial differential equations
• Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
• Stability properties of systems of linear stochastic differential equations with random coefficients
• Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
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• The master equation for large population equilibriums
• A converse comparison theorem for backward stochastic differential equations with jumps
• A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
• Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators
• Stochastic \(H_2/H_\infty\) control with random coefficients
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• Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations
• Optimal investment-consumption-insurance with random parameters
• Stochastic optimal control for backward stochastic partial differential systems
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• A separation theorem for stochastic singular linear quadratic control problem with partial information
• Continuous-time mean-variance portfolio selection with random horizon
• Sequential convex programming for non-linear stochastic optimal control
• The master equation in mean field theory
• Backward stochastic differential equations and applications to optimal control
• Adapted solution of a backward semilinear stochastic evolution equation
• Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control
• Characterization of optimal feedback for stochastic linear quadratic control problems
• Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
• General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
• Linear forward-backward stochastic differential equations with random coefficients
• A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
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• On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
• An introduction to mean field game theory
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• Controlled reflected SDEs and Neumann problem for backward SPDEs
• Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
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• Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
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