Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations

DOI10.1080/07362994.2013.776881zbMath1270.60068OpenAlexW1987189950MaRDI QIDQ5298846

Yu-hong Xu

Publication date: 24 June 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.776881

zbMATH Keywords

Hamilton-Jacobi-Bellman equationFeynman-Kac formulabackward stochastic differential equationfunctional Itō calculus\(G\)-expectation\(G\)-martingalepath-dependent partial differential equationuncertainty volatility model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Brownian motion (60J65) Heat equation (35K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

Comparison theorem for nonlinear path-dependent partial differential equations ⋮ Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost

Cites Work

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• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Stochastic calculus for finance. II: Continuous-time models.
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Stochastic Hamilton–Jacobi–Bellman Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• User’s guide to viscosity solutions of second order partial differential equations

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