Stochastic verification theorem of forward-backward controlled systems for viscosity solutions
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Abstract: In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the framework of viscosity solutions without involving any derivatives of the value functions. It is worth to pointing out that this theorem has wider applicability than the restrictive classical verification theorems. As a relevant problem, the optimal stochastic feedback controls for forward-backward system are discussed as well.
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
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Cited in
(10)- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- A verification theorem for optimal control of fully coupled forward-backward stochastic differential equations within the framework of viscosity solutions
- A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
- Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach
- Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
- Near-optimal control of stochastic recursive systems via viscosity solution
- Mean-variance portfolio selection under no-shorting rules: a BSDE approach
- scientific article; zbMATH DE number 1121860 (Why is no real title available?)
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