Regularity properties for general HJB equations: A backward stochastic differential equation method

SIAM Journal on Control and Optimization

Volumn 50, Issue 3, 2012, Pages 1466-1501

  Buckdahn, Rainer ^a,b   Huang, Jianhui ^c   Li, Juan ^b,d  

^a UNIVERSITÉ DE BRETAGNE OCCIDENTALE   (France)

^b SHANDONG UNIVERSITY   (China)

^c HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^d SHANDONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equation; HJB equation; Lipschitz continuity; Reflected backward stochastic differential equations; Semiconcavity; Value function

Indexed keywords

DIFFERENTIAL EQUATIONS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; HJB EQUATIONS; LIPSCHITZ CONTINUITY; REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATION; SEMICONCAVITY; VALUE FUNCTIONS;

NONLINEAR EQUATIONS;

EID: 84865522869     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/110828629     Document Type: Article

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