The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation

DOI10.1137/18M1231833zbMath1472.93196arXiv1805.02337OpenAlexW2991352819WikidataQ126624891 ScholiaQ126624891MaRDI QIDQ4972762

Shaolin Ji, Xiaole Xue, Ming Shang Hu

Publication date: 27 November 2019

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

Full work available at URL: https://arxiv.org/abs/1805.02337

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutiondynamic programming principlefully coupled forward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (5)

Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition ⋮ 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 ⋮ 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

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