Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations

SIAM Journal on Control and Optimization

Volumn 52, Issue 3, 2014, Pages 1622-1662

  Li, Juan ^a   Wei, Qingmeng ^b,c  

^a SHANDONG UNIVERSITY   (China)

^b NORTHEAST NORMAL UNIVERSITY   (China)

^c SHANDONG UNIVERSITY   (China)

Author keywords

Dynamic programming principle; Fully coupled FBSDEs; Stochastic backward semigroup; Value functions; Viscosity solution

Indexed keywords

ALGEBRA; OPTIMAL CONTROL SYSTEMS; STOCHASTIC SYSTEMS; VISCOSITY;

DYNAMIC PROGRAMMING PRINCIPLE; FULLY-COUPLED; STOCHASTIC BACKWARD SEMIGROUP; VALUE FUNCTIONS; VISCOSITY SOLUTIONS;

DYNAMIC PROGRAMMING;

EID: 84905025168     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/100816778     Document Type: Article

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