Stochastic verification theorem of forward-backward controlled systems for viscosity solutions

DOI10.1016/J.SYSCONLE.2012.02.013zbMATH Open1248.93176arXiv1010.5742OpenAlexW2022173345MaRDI QIDQ450796FDOQ450796

Authors: Liangquan Zhang 

Publication date: 14 September 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1010.5742

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zbMATH Keywords

forwardbackward stochastic differential equationsstochastic optimal controlviscosity solutionsH-J-B equationsoptimal feedback controlssuper/sub-differentials

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
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• Optimal control of diffusions: A verification theorem for viscosity solutions
• Erratum: ``A corrected proof of the stochastic verification theorem within the framework of viscosity solutions
• A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions

Cited In (10)

• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• Title not available (Why is that?)
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• Mean-variance portfolio selection under no-shorting rules: a BSDE approach
• A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
• Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Near-optimal control of stochastic recursive systems via viscosity solution
• A verification theorem for optimal control of fully coupled forward-backward stochastic differential equations within the framework of viscosity solutions

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