Convex Hamilton-Jacobi equations under superlinear growth conditions on data
From MaRDI portal
Publication:538471
DOI10.1007/s00245-010-9122-9zbMath1223.35115arXiv0810.1435OpenAlexW1984720079MaRDI QIDQ538471
Publication date: 25 May 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.1435
backward stochastic differential equationsHamilton-Jacobi-Bellman equationsunbounded solutionsunbounded stochastic control problems
Degenerate parabolic equations (35K65) Maximum principles in context of PDEs (35B50) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)
Related Items (18)
Optimal Control of Diffusion Coefficients via Decoupling Fields ⋮ On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration ⋮ Fujita type exponent for fully nonlinear parabolic equations and existence results ⋮ A Lagrange–Galerkin Scheme for First Order Mean Field Game Systems ⋮ Quadratic reflected BSDEs with unbounded obstacles ⋮ BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data ⋮ Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping ⋮ Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition ⋮ An optimal execution problem with market impact ⋮ Existence and uniqueness of solutions to parabolic equations with superlinear Hamiltonians ⋮ Viscosity solutions to an initial value problem for a Hamilton-Jacobi equation with a degenerate Hamiltonian occurring in the dynamics of peakons ⋮ On the asymptotic nature of first order mean field games ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure ⋮ Finite mean field games: fictitious play and convergence to a first order continuous mean field game ⋮ Viscosity solutions of general viscous Hamilton-Jacobi equations ⋮ Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets ⋮ Portfolio liquidation under factor uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Backward SDEs with superquadratic growth
- Perron's method for Hamilton-Jacobi equations
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Quadratic growth of solutions of fully nonlinear second order equations in \({\mathbb{R}{}}^ n\)
- Viscosity solutions of Hamilton-Jacobi equations
- On the Bellman equation for some unbounded control problems
- Bounded from below viscosity solutions of Hamilton-Jacobi equations
- The Cauchy problem for \(u_{t}=\Delta u+| \nabla u|^q\)
- Uniqueness results for quasilinear parabolic equations through viscosity solutions' methods
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- An approach of deterministic control problems with unbounded data
- Hamilton-Jacobi-Bellman equations with fast gradient-dependence
- Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
- User’s guide to viscosity solutions of second order partial differential equations
- Comparison results for hamilton-jacobi equations without grwoth condition on solutions from above
- Finite Time--Horizon Risk-Sensitive Control and the Robust Limit under a Quadratic Growth Assumption
- A quasilinear elliptic equation in ℝN
- Nonlinear Optimal Control with Infinite Horizon for Distributed Parameter Systems and Stationary Hamilton–Jacobi Equations
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Stochastic differential equations. An introduction with applications.
- Existence of solutions to the Hamilton-Jacobi-Bellman equation under quadratic growth conditions
This page was built for publication: Convex Hamilton-Jacobi equations under superlinear growth conditions on data
