Regularity properties for general HJB equations: a backward stochastic differential equation method
backward stochastic differential equationHamilton--Jacobi--Bellman (HJB) equationsemiconcavitystochastic control systemviscosity solution
Viscosity solutions to PDEs (35D40) Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Regularity of solutions in optimal control (49N60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)
- Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton-Jacobi-Bellman type
- Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem
- On the Hamilton-Jacobi-Bellman equations
- HJB equations in infinite dimensions under weak regularizing properties
- Comparison theorem of solutions to BSDE with jumps, and viscosity solution to a generalized Hamilton-Jacobi-Bellman equation
- Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem
- Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton-Jacobi-Bellman type
- Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation
- The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
- Generalized semiconcavity of the value function of a jump diffusion optimal control problem
- A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
- An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
- Regularity properties for general HJB equations. A BSDE method
- Existence and global Lipschitz estimates for unbounded classical solutions of a Hamilton-Jacobi equation
- Stochastic verification theorems for stochastic control problems of reflected FBSDEs
- Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
- Recursive stochastic differential games with non-Lipschitzian generators and viscosity solutions of Hamilton-Jacobi-Bellman-Isaacs equations
- Reflected stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
- L^p-estimate for infinite horizon decoupled forward-backward stochastic differential equations with jumps
- Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
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