Stochastic verification theorems for stochastic control problems of reflected FBSDEs

DOI10.1016/J.SYSCONLE.2025.106137MaRDI QIDQ6956873zbMATH OpenFDO

Authors Lu Liu, Xinlei Hu, Qingmeng Wei

Publication date 17 July 2025

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

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2025.106137

zbMATH Keywords

classical solutionHJB equation with obstaclereflected fbsdesstochastic verification theoremviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Cites work

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Cited in

(1)

• Dissipative cascaded multistep backward stochastic differential equation (BSDE) with polynomial growth

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