Limit theorem for controlled backward SDEs and homogenization of Hamilton-Jacobi-Bellman equations

Applied Mathematics and Optimization

Volumn 51, Issue 1, 2005, Pages 1-33

  Buckdahn, Rainer ^a   Ichihara, Naoyuki ^a  

^a UNIVERSITÉ DE BRETAGNE OCCIDENTALE   (France)

Author keywords

Backward stochastic differential equations; Hamilton Jacobi Bellman equations; Homogenization; Stochastic ergodic control; Stochastic optimal control; Viscosity solutions

Indexed keywords

NONLINEAR EQUATIONS; OPTIMAL CONTROL SYSTEMS; PROBABILITY; RANDOM PROCESSES; STOCHASTIC CONTROL SYSTEMS; THEOREM PROVING; VISCOSITY;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; HAMILTON-JACOBI-BELLMAN EQUATIONS; HOMOGENIZATION; STOCHASTIC ERGODIC CONTROL; STOCHASTIC OPTIMAL CONTROL; VISCOSITY SOLUTION;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 11244262559     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-004-0805-3     Document Type: Article

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